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Staatsverschuldung und Inflation : eine empirische Analyse für Deutschland

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  • Alexander Mehnert
  • Andreas Nastansky

Abstract

In the following study the relation between the public debt and the inflation will be analysed. The transmission from the public debt to the inflation through the money supply and long term interest rate will be shown. Based on these theoretical thoughts the variables public debt, consumer price index, money supply m3 and the long term interest rate will be analysed within a vector error correction model. In the empirical part of this paper we will evaluate the timeperiod from the first quarter in 1991 until the fourth quarter in 2010 for Germany. In a vector error correction model every variable can be taken as endogenous. The variables in the model will be tested for cointegrated relationships and estimated with the Johansen-Approach.

Suggested Citation

  • Alexander Mehnert & Andreas Nastansky, 2012. "Staatsverschuldung und Inflation : eine empirische Analyse für Deutschland," Potsdamer Schriften zu Statistik und Wirtschaft 02, Universität Potsdam, Wirtschafts- und Sozialwissenschaftliche Fakultät.
    • Handle: RePEc:pot:psstwi:02
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    References listed on IDEAS

    as
    1. Carmen M. Reinhart & Kenneth S. Rogoff, 2009. "Varieties of Crises and Their Dates," Introductory Chapters, in: This Time Is Different: Eight Centuries of Financial Folly, Princeton University Press.
    2. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
    3. Carmen M. Reinhart & M. Belen Sbrancia1, 2015. "The liquidation of government debt," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 30(82), pages 291-333.
    4. Olivier Blanchard & Giovanni Dell'Ariccia & Paolo Mauro, 2010. "Rethinking Macroeconomic Policy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(s1), pages 199-215, September.
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    Cited by:

    1. Andreas Nastansky & Alexander Mehnert & Hans Gerhard Strohe, 2014. "A Vector Error Correction Model for the Relationship between Public Debt and Inflation in Germany," Statistische Diskussionsbeiträge 51, Universität Potsdam, Wirtschafts- und Sozialwissenschaftliche Fakultät.

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    More about this item

    Keywords

    Public Debt; Central Bank Policy; Inflation; Cointegration; Vector Error Correction Model; Johansen Approach;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt

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