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Stability issues in German money multiplier forecasts

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  • Polster, Rainer
  • Gottschling, Andreas

Abstract

This paper investigates the stability of the German money supply focusing on the period 1991 - 1998. It is shown that the standard ARIMA-Transfer model approach in the literature needs to be augmented by a cointegration term to adequately model the dynamics of money supply in Germany. Additional analysis with regard to the influence of financial innovations on the control of money supply yields evidence that the influence of financial innovations on the multiplier has increased steadily during the observation period.

Suggested Citation

  • Polster, Rainer & Gottschling, Andreas, 1999. "Stability issues in German money multiplier forecasts," Research Notes 99-8, Deutsche Bank Research.
    • Handle: RePEc:zbw:dbrrns:998
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    References listed on IDEAS

    as
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    5. von Hagen, Jurgen, 1993. "Monetary union, money demand, and money supply : A review of the German monetary union," European Economic Review, Elsevier, vol. 37(4), pages 803-827, May.
    6. Johannes, James M. & Rasche, Robert H., 1979. "Predicting the money multiplier," Journal of Monetary Economics, Elsevier, vol. 5(3), pages 301-325, July.
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    More about this item

    Keywords

    Money Supply; Financial Innovation; Forecasting Money Multiplier;
    All these keywords.

    JEL classification:

    • 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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