Monetary Transmission in Germany: Evidence From a Structural Econometric Model
AbstractIn this paper a cointegrated system represented as a simultaneous Vector Equilibrium Correction Model for money, prices, output and interest rates in Germany is estimated. The model gives insight in the process of transmission mechanisms of the Bundesbank's monetary policy. The empirical results are consistent with markets' perceptions of a credible monetary policy by which the Bundesbank sticks to its announced monetary targets. A policy reactionfunction for short term interest rates is found which is very similar to a Taylortype feedback rule.
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Bibliographic InfoPaper provided by University of Copenhagen. Department of Economics in its series Discussion Papers with number 98-05.
Length: 34 pages
Date of creation: Mar 1998
Date of revision:
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cointegration; vector equilibrium correction model; monetary transmission; monetary policy;
Find related papers by JEL classification:
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
- E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
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