Interesting question. My gut feeling was that either the conversion to money or none of the conversions would be problematic for the empty string; I am glad I took the time to investigate instead of taking a 50% chance between those two options.

Too bad the explanation is incomplete. Everything in the explanation was already known (to me, that is). The only thing that was new for me was also the only thing that the question's author did not explain - "for some reason" is not a real explanation in my book.

Anyway, since I investigated this before answering I can now affirm that this behaviour is explicitly documented in the CAST and CONVERT topic in Books Online.