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Money in a New-Keynesian model estimated with German data

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Author Info
Werner, Thomas
Lombardo, Giovanni
Kremer, Jana

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Abstract

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

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Find related papers by JEL classification:
E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

Cited by:
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  1. Stephen McKnight & Alexander Mihailov, 2007. "Re-examining the Importance of Trade Openness for Aggregate Instability," Economics & Management Discussion Papers em-dp2007-52, Henley Business School, Reading University. [Downloadable!]
    Other versions:
  2. Peter Hoerdahl & Oreste Tristani, 2004. "A joint econometric model of macroeconomic and term structure dynamics," Econometric Society 2004 North American Summer Meetings 379, Econometric Society. [Downloadable!]
    Other versions:
  3. Pytlarczyk, Ernest, 2005. "An estimated DSGE model for the German economy within the euro area," Discussion Paper Series 1: Economic Studies 2005,33, Deutsche Bundesbank, Research Centre. [Downloadable!]
  4. Berger, Helge & Österholm, Pär, 2007. "Does Money Growth Granger-Cause Inflation in the Euro Area? Evidence from Out-of-Sample Forecasts Using Bayesian VARs," Working Paper Series 2007:30, Uppsala University, Department of Economics. [Downloadable!]
    Other versions:
  5. Barry E. Jones & Livio Stracca, 2006. "Are money and consumption additively separable in the euro area? A non-parametric approach," Working Paper Series 704, European Central Bank. [Downloadable!]
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