Does it Matter How to Measure Aggregates? The Case of Monetary Transmission Mechanisms in the Euro Area
Publikation: Working paper › Forskning
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Does it Matter How to Measure Aggregates? The Case of Monetary Transmission Mechanisms in the Euro Area. / Beyer, Andreas; Juselius, Katarina.
Department of Economics, University of Copenhagen, 2008.Publikation: Working paper › Forskning
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TY - UNPB
T1 - Does it Matter How to Measure Aggregates?
T2 - The Case of Monetary Transmission Mechanisms in the Euro Area
AU - Beyer, Andreas
AU - Juselius, Katarina
N1 - JEL Classification: C32, C42, E41
PY - 2008
Y1 - 2008
N2 - Beyer, Doornik and Hendry (2000, 2001) show analytically that three out of four aggregation methods yield problematic results when exchange rate shifts induce relative-price changes between individual countries and found the least problematic method to be the variable weight method of growth rates. This papers shows, however, that the latter is sensitive to the choice of base year when based on real GDP weights whereas not on nominal GDP weights. A comparison of aggregates calculated with different methods shows that the differences are tiny in absolute value but highly persistent. To investigatethe impact on the cointegration properties in empirical modelling, the monetary model in Coenen & Vega (2001) based on fixed weights was re-estimated using flexible real and nominal GDP weights. In general, the results remained reasonably robust to the choice of aggregation method
AB - Beyer, Doornik and Hendry (2000, 2001) show analytically that three out of four aggregation methods yield problematic results when exchange rate shifts induce relative-price changes between individual countries and found the least problematic method to be the variable weight method of growth rates. This papers shows, however, that the latter is sensitive to the choice of base year when based on real GDP weights whereas not on nominal GDP weights. A comparison of aggregates calculated with different methods shows that the differences are tiny in absolute value but highly persistent. To investigatethe impact on the cointegration properties in empirical modelling, the monetary model in Coenen & Vega (2001) based on fixed weights was re-estimated using flexible real and nominal GDP weights. In general, the results remained reasonably robust to the choice of aggregation method
KW - Faculty of Social Sciences
KW - aggregation
KW - flexible weight
KW - Eurowide money demand
KW - cointegration
M3 - Working paper
BT - Does it Matter How to Measure Aggregates?
PB - Department of Economics, University of Copenhagen
ER -
ID: 3031738