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Monetary policy in Germany: A cointegration analysis on the relevance of interest rate rules

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  • Eleftheriou, Maria

Abstract

The paper attempts to identify an empirical relationship that characterizes the way the Bundesbank adjusted its short-term rate with respect to various objectives. By building on a careful exploration of the properties of the variables involved, it is established that interest rate rules --often remarkably similar to the Taylor rule-- remain valid and relevant in a Vector Error Correction framework, and thereby proposing a distinctive interpretation of German monetary policy during the period 1975-1998.

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Bibliographic Info

Article provided by Elsevier in its journal Economic Modelling.

Volume (Year): 26 (2009)
Issue (Month): 5 (September)
Pages: 946-960

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Handle: RePEc:eee:ecmode:v:26:y:2009:i:5:p:946-960

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Web page: http://www.elsevier.com/locate/inca/30411

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Keywords: Cointegration Impulse response analysis Monetary policy Taylor rule Vector error correction model Deutsche Bundesbank;

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