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An Empirical Analysis of the Changing Role of the German Bundesbank after 1983

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  • Juselius, Katarina

Abstract

A cointegrated VAR model describing a small macroeconomic system consisting of money, income, prices, and interest rates is estimated on split sample data before and after 1983. The monetary mechanisms were found to be significantly different. Before 1983, the money supply seemed controlable and expansion or contraction of money supply had the expected effect on prices, income, and interest rates. After 1983, the conventional mechanisms no longer seemed to work. The empirical analysis pointed to the crucial role of the bond rate in the system, particularly for the more recent period. Copyright 1996 by Blackwell Publishing Ltd

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Bibliographic Info

Article provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.

Volume (Year): 58 (1996)
Issue (Month): 4 (November)
Pages: 791-819

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Handle: RePEc:bla:obuest:v:58:y:1996:i:4:p:791-819

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Cited by:
  1. Bruneau, Catherine & Jondeau, Eric, 1999. " Long-Run Causality, with an Application to International Links between Long-Term Interest Rates," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, Department of Economics, University of Oxford, vol. 61(4), pages 545-68, November.
  2. Hesse, Heiko, 2007. "Monetary policy, structural break, and the monetary transmission mechanism in Thailand," Policy Research Working Paper Series 4248, The World Bank.
  3. Moersch, Mathias & Nautz, Dieter, 1998. "The monetary model of the exchange rate: A structural interpretation," SFB 373 Discussion Papers 1998,6, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  4. Michael Ehrmann, 2000. "Comparing monetary policy transmission across European countries," Review of World Economics (Weltwirtschaftliches Archiv), Springer, Springer, vol. 136(1), pages 58-83, March.
  5. Candelon, Bertrand & Lutkepohl, Helmut, 2001. "On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models," Economics Letters, Elsevier, Elsevier, vol. 73(2), pages 155-160, November.
  6. Francesco Carlucci & Alessandro Girardi, 2004. "National Specifities and Monetary-Policy Trasmission in Europe," Working Papers, University of Rome La Sapienza, Department of Public Economics 73, University of Rome La Sapienza, Department of Public Economics.
  7. Helmut Luetkepohl & Jürgen Wolters, 2001. "The Transmission of German Monetary Policy in the Pre-Euro Period," CESifo Working Paper Series 604, CESifo Group Munich.
  8. Brüggemann, Ralf, 2002. "On the small sample properties of weak exogeneity tests in cointegrated VAR models," SFB 373 Discussion Papers 2002,2, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  9. Juselius, Katarina & Toro, Juan, 2005. "Monetary transmission mechanisms in Spain: The effect of monetization, financial deregulation, and the EMS," Journal of International Money and Finance, Elsevier, Elsevier, vol. 24(3), pages 509-531, April.
  10. Rangvid, Jesper & Sorensen, Carsten, 2001. "Determinants of the implied shadow exchange rates from a target zone," European Economic Review, Elsevier, Elsevier, vol. 45(9), pages 1665-1696, October.
  11. Thirunaukarasu Subramaniam & Ahmad Zubaidi Baharumshah, 2011. "Unemployment And Speed Of Adjustment In Asean-3 Economies: A Cointegration Analysis," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 56(03), pages 327-347.
  12. Eleftheriou, Maria, 2009. "Monetary policy in Germany: A cointegration analysis on the relevance of interest rate rules," Economic Modelling, Elsevier, Elsevier, vol. 26(5), pages 946-960, September.
  13. Herzer, Dierk & Strulik, Holger, 2013. "Religiosity and income: A panel cointegration and causality analysis," Center for European, Governance and Economic Development Research Discussion Papers 168, University of Goettingen, Department of Economics.

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