Análisis de la tendencia a la liquidez del agregado monetario M3 en la eurozona1997-2018

  1. Pateiro-Rodríguez, Carlos
  2. Freire-Seoane, María Jesús
  3. López-Bermúdez, Beatriz
  4. Pateiro-López, Carlos
Journal:
El trimestre económico

ISSN: 0041-3011,  2448-718X

Year of publication: 2020

Issue: 345

Pages: 171-201

Type: Article

DOI: 10.20430/ETE.V87I345.956 DIALNET GOOGLE SCHOLAR lock_openOpen access editor

More publications in: El trimestre económico

Abstract

Durante las dos últimas décadas, el agregado monetario M3, de referencia del Banco Central Europeo (BCE), ha experimentado una fuerte tendencia hacia su acumulación en los componentes más líquidos: efectivo en circulación y depósitos a la vista, en detrimento de las modalidades de depósitos a plazo y otros componentes de menor ponderación. Si bien este comportamiento es compatible con una larga etapa de bajas tasas de interés, resulta interesante la búsqueda de otras explicaciones, complementarias y/o alternativas, a la fuerte concentración de la demanda de dinero en los activos más líquidos. Esta deriva del agregado de referencia puede tener consecuencias sobre la estabilidad de precios, objetivo último del BCE, al mismo tiempo que puede constituirse en un elemento potencial de la modificación del comportamiento del ahorro. En este trabajo, junto con el análisis de la evolución de los siete componentes del M3 1997-2018, presentamos los resultados de un trabajo empírico sobre la estabilidad de la relación entre la demanda de dinero y las variables macroeconómicas determinantes. Los resultados muestran que las fuertes perturbaciones e incertidumbres financieras a raíz de la crisis, así como las decisiones de política monetaria no convencional (quantitative easing) adoptadas por el BCE poseen alguna capacidad explicativa del fenómeno estudiado.

Bibliographic References

  • Aghion, P., Farhi, E., y Kharroubi, E. (2017). On the interaction between monetary policy, corporate balance sheets and structural reforms. En BCE, Investment and Growth in Advanced Economies. Conference Proceedings. Fráncfort del Meno: BCE.
  • Altavilla, C., Giannone, D., y Lenza, M. (2016). The financial and macroeconomic effects of OMT announcements. International Journal of Central Banking, 12(3), 29-57.
  • BCE (1999). La estrategia de política monetaria del eurosistema orientada hacia la estabilidad. Boletín Mensual, enero, 45-57.
  • BCE (2012). El ajuste de las estadísticas monetarias sobre cesiones temporales con entidades de contrapartida central. Boletín Mensual, septiembre, 30-33.
  • Belke, A., y Czudaj, R. (2010). Is euro area money demand (still) stable? Cointegrated var versus single equation techniques. Applied Economic Quarterly, 56(4), 285-315. Recuperado de: http://dx.doi.org/10.2139/ ssrn.1593025
  • Brand, C., y Cassola, N. (2000). A Money Demand System for Euro Area M3 (ECB working paper 39). Fráncfort del Meno: BCE.
  • Calza, A., Gerdesmeier, D., y Levy, J. (2001). Euro Area Money Demand: Measuring the Opportunity Costs Appropriately (IMF working paper 1/179). Washington, D. C.: FMI.
  • Calza, A., Jung, A., y Stracca, L. (2000). An econometric analysis of the main components of M3 in the euro area. Review of World Economics, 136(4), 680-701. Recuperado de: https://doi.org/10.1007/BF02707648
  • Carstensen, K. (2006). Stock market downswing and the stability of European Monetary Union money demand. Journal of Business and Economic Statistics, 24, 395-402. Recuperado de: https://doi.org/ 10.1198/073500106000000369
  • Coenen, B., y Vega, J. L. (1999). The Demand for M3 in the Euro Area (ECB working paper 6). Fráncfort del Meno: BCE.
  • Cour-Thimann, P., y Winkler, B. (2013). The ECB’s Non-Standard Monetary Policy Measures. The Role of Institutional Factors and Financial Structure (working paper series 1528). Fráncfort del Meno: BCE.
  • Crosignani, M., Faria-e-Castro, M., y Fonseca, L. (2017). The (Un intended) Consequence of the Largest Liquidity Injection Ever (FEDS working paper 2017-011). Washington, D. C.: Federal Reserve Board.
  • Darracq-Paries, M., y De Santis, R. (2015). A non-standard monetary policy shock: The ECB’s 3-years LTROS and the shift in credit supply. Journal of International Money and Finance, 54, 1-34. Recuperado de: https://doi.org/10.1016/j.jimonfin.2015.02.011
  • De Pooter, M., Martin, R., y Pruitt, S. (2018). The liquidity effects of official bond market intervention. Journal of Financial and Quantitative Analysis, 53(1), 243-268. Recuperado de: https://doi.org/10.1017/ S0022109017000898
  • De Santis, R., Favero, C., y Roffia, B. (2013). Euro area money demand and international portfolio allocation: A contribution to assessing risks to price stability. Journal of International Money and Finance, 32(c), 377-404. Recuperado de: https://doi.org/10.1016/j.jimonfin.2012.04.012
  • Dreger, C., y Wolters, J. (2014). Unconventional monetary policy and money demand. Journal of Macroeconomics, 46, 40-54. Recuperado de: https://doi.org/10.1016/j.jmacro.2015.07.005
  • Duca, J., y VanHoose, D. (2004). Recent developments in understanding the demand for money. Journal of Economics and Business, 56, 247-272. Recuperado de: https://doi.org/10.1016/j.jeconbus.2004.01.001
  • Engle, R. F., y Granger, W. J. (1987). Co-integration and error correction: Representation, estimation and testing. Econometrica, 55, 251-276.
  • Eser, F., y Schwaab, B. (2016). Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB’s Securities Markets Programme. Journal of Financial Economics, 119(1), 147-167. Recuperado de: https://doi.org/10.1016/j.jfineco.2015.06.003
  • Ferrando, A., Popov, A., y Udell, G. (2015). Sovereign Stress, Unconventional Monetary Policy, and SME Access to Finance (ECB working paper 1820). Fráncfort del Meno: BCE.
  • Fischer, B., Köhler, P., y Seitz, F. (2004). The Demand for Euro Area Currencies: Past, Present and Future (ECB working papers 330). Fráncfort del Meno: BCE.
  • Fischer, B., Lenza, M., Pill, H., y Reichlin, L. (2009). Monetary analysis and monetary policy in the euro area 1999-2006. Journal of Interna¬tional Money and Finance, 38(7), 1138-1164. Recuperado de: https:// doi.org/10.1016/j.jimonfin.2009.06.012
  • Galí, J. (2002). Monetary policy in early years of EMU. En EMU and Economic Policy in Europe: The Challenge of the Early Years (pp. 41-72). Cheltenham: Edward Elgar Publishing.
  • García-Posada, M., y Marchetti, M. (2016). The bank lending channel of unconventional monetary policy: The impact of the VLTROS on credit supply in Spain. Economic Modelling, 58, 427-441. Recuperado de: https://doi.org/10.1016/j.econmod.2016.05.002
  • Giannone, D., Lenza, M., Pill, H., y Reichlin, L. (2012). The ECB and the interbank market. Economic Journal, 122, 467-486. Recuperado de: https://doi.org/10.1111/j.1468-0297.2012.02553.x
  • Ghysels, E., Idier, J., Manganelli, S., y Vergote, O. (2017). A high frequency assessment of the ECB Securities Markets Programme. Journal of the European Economic Association, 15(1), 218-243. Recuperado de: https:// doi.org/10.1093/jeea/jvw003
  • Greiber, C., y Lemke, W. (2005). Money Demand and Macroeconomic Uncertainty (discussion paper 26/05). Fráncfort del Meno: Deutsche Bundesbank.
  • Griffiths, R., Carter Hill, R., y Judge, G. (1993). Learning and Practicing Econometrics. Nueva York: John Wiley & Sons.
  • Hartmann, P., y Smets, F. (2018). The First Twenty Years of the European Central Bank: Monetary Policy (ECB working paper series, 2219). Fráncfort del Meno: BCE.
  • Jasova, M., Mendicino, C., y Supera, D. (2018). Rollover Risk and Bank Lending Behaviour: Evidence from Unconventional Central Bank Liquidity (mimeo). Fráncfort del Meno: BCE.
  • Johansen, S. (1991). Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica, 59(6), 1551-1580.
  • Jung, A. (2015). Does liquidity matter for money demand in euro area countries? Economics Bulletin, 35(2), 1383-1391.
  • Jung, A. (2016). A Portfolio Demand Approach for Broad Money in the Euro Area (ECB working paper 1929). Fráncfort del Meno: BCE.
  • Krishnamurthy, A., Nagel, S., y Vissing-Jorgensen, A. (2017). ECB policies involving government bond purchases: Impact and channels. Review of Finance, 22(1), 1-44. Recuperado de: https://doi.org/10.1093/rof/rfx053
  • Lenza, M., Pill, H., y Reichlin, L. (2010). Monetary policy in exceptional times. Economic Policy, 62, 295-339. Recuperado de: https://doi. org/10.1111/j.1468-0327.2010.00240.x
  • Masuch, K., Nicoletti-Altimari, S., Rostagno, M., y Pill, H. (2003). The role of money in monetary policy making. Monetary Policy in a Changing environment, 19, 158-191.
  • Nautz, D., y Rondorf, U. (2011). The (in)stability of money demand in the euro area: Lessons from a cross country analysis. Empirica, 38(4), 539-553. Recuperado de: https://doi.org/10.1007/s10663-010-9139-y
  • Papademos, L., y Stark, J. (eds.) (2010). Enhancing Monetary Analysis. Fráncfort del Meno: BCE.
  • Pateiro-Rodríguez, C., Barros-Campello, E., Varela-Candamio, L., y Pateiro-López, C. (2016). The behavior of the components of M3 in the euro area: 1999-2014. Open Journal of Business and Management, 4, 606-620. doi: 10.4236/ojbm.2016.44062
  • Peersman, G. (2011). Macroeconomic Effects of Unconventional Monetary Policy in the Euro Area (working paper series 1397). Fráncfort del Meno: BCE.
  • Pill, H., y Reichlin, L. (2014). Exceptional Policies for Exceptional Times: The ECB’s Response to the Rolling Crises of the Euro Area, and How It Has Brought Us towards a New Grand Bargain (CEPR discussion paper 10193). Washington, D. C.: CEPR.
  • Poole, W. (1970). Optimal choice of monetary policy instruments in a simple stochastic macro model. The Quarterly Journal of Economics, 84(2), 197-216. Recuperado de: https://doi.org/10.2307/1883009
  • Reichlin, L. (2014). Monetary policy and banks in the euro area: The tale of two crises. Journal of Macroeconomics, 39, 287-400. Recuperado de: https://doi.org/10.1016/j.jmacro.2013.09.012
  • Reynard, S. (2007). Maintaining Low Inflation – Money, Interest, and Policy Stance (ECB working paper 756). Fráncfort del Meno: BCE.
  • Rostagno, M., Bindseil, U., Kamps, A., Lemke, W., Sugo, T., y Vlassopoulos, T. (2016). Breaking through the Zero Line: The ECB’s Negative Interest Rate Policy (ponencia). Brookings Institution, Washington, D. C., 6 de junio.
  • Sargan, J. D. (1964). Wages and prices in the United Kingdom: A study of econometric methodology. En P. E. Hart, G. Mills y J. K. Whitaker, Econometric Analysis for National Economic Planning (pp. 25-63). Londres: Butterworth Co.
  • Stracca, L. (2003). The functional form of the demand for euro area M1. The Manchester School 71(2), 172-204. Recuperado de: https://doi.org/10.1111/1467-9957.00342
  • Trebesch, C., y Zettelmeyer, J. (2016). ECB interventions in distressed sovereign debt markets: The case of Greek bonds. IMF Economic Review, 66(2), 287-332.
Data source: Dialnet