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Money in a New-Keynesian model estimated with German data


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  • Werner, Thomas
  • Lombardo, Giovanni
  • Kremer, Jana


In this paper we estimate a simple New-Keynesian DSGE model with German data for the sample period 1970:q1 to 1998:q4. Contrary to a number of recent similar papers estimated with US and euro-area data, we find that real money balances contribute significantly to the determination of inflation and of the dynamics of output. We estimate our model using a maximum likelihood technique under a full set of structural shocks. We do not rule out indeterminate solutions a priori. Under multiple stable paths we close the model using the minimum-state-variable solution. -- In diesem Diskussionspapier schätzen wir ein einfaches Neukeynesianisches dynamisches Gleichgewichtsmodel für deutsche Daten und den Zeitraum zwischen dem ersten Quartal 1970 und dem letzten Quartal 1998. Im Unterschied zu einer Reihe von anderen Arbeiten für die Vereinigten Staten von Amerika und dem Euroraum deuten unsere Ergebnisse darauf hin, dass die reale Geldmenge einen signifikanten Beitrag zur Erklärung der Inflation und der Dynamik des Bruttoinlandsprodukts leistet. Das Model wird mit Hilfe eines Maximum-Likelihood-Verfahrens geschätzt und erlaubt die Identifikation von strukturellen Schocks. Parameterkonstellationen, die zu multiplen Gleichgewichten führen, werden nicht a-priori ausgeschlossen, sondern mit Hilfe des Minimum-State-Variable-Ansatzes behandelt.

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Bibliographic Info

Paper provided by Deutsche Bundesbank, Research Centre in its series Discussion Paper Series 1: Economic Studies with number 2003,15.

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Date of creation: 2003
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Handle: RePEc:zbw:bubdp1:4212

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Keywords: Maximum-Likelihood; DSGE; MSV solution; New-Keynesian model; Germany;

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