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Stability issues in German money multiplier forecasts

  • Polster, Rainer
  • Gottschling, Andreas
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    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.

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    Paper provided by Deutsche Bank Research in its series Research Notes with number 99-8.

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    Date of creation: 1999
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    Handle: RePEc:zbw:dbrrns:998
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    1. Reinhart, Carmen & Arrau, Patricio & DeGregorio, Jose & Wickham, Peter, 1995. "The demand for money in developing countries: Assessing the role of financial innovation," MPRA Paper 14096, University Library of Munich, Germany.
    2. von Hagen, J├╝rgen, 1992. "Monetary Union, Money Demand and Money Supply: A Review of the German Monetary Union," CEPR Discussion Papers 719, C.E.P.R. Discussion Papers.
    3. Johannes, James M. & Rasche, Robert H., 1979. "Predicting the money multiplier," Journal of Monetary Economics, Elsevier, vol. 5(3), pages 301-325, July.
    4. Johannes, James M & Rasche, Robert H, 1981. "Can the Reserves Approach to Monetary Control Really Work?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 13(3), pages 298-313, August.
    5. William Poole, 1976. "Interpreting the Fed's Monetary Targets," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 7(1), pages 247-260.
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