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Title:The transmission of German monetary policy in the pre-Euro period PDF Logo
Authors:Lütkepohl, Helmut
Wolters, Jürgen
Issue Date:2001
Series/Report no.:Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2001,87
Abstract:A small macroeconomic model is constructed to study the transmission of the monetary policy conducted by the Deutsche Bundesbank (DBB) since the middle of the 1970s. For this purpose quarterly, seasonally unadjusted data for the period from 1975 to 1998 are used, that is, the period until the introduction of the Euro is considered. A vector error correction model is constructed for the German monetary sector based on M3, GNP, an inflation rate, a long-term interest rate and a short-term rate which represents the policy variable of the DBB. Moreover, import price inflation is included as an exogenous variable to capture foreign effects. An impulse response analysis highlights the effects of changes in the short-term interest rate and shows the interaction of the main variables of the monetary sector.
Subjects:Cointegration analysis
impulse response analysis
monetary policy
money demand
structural vector error correction model
JEL:C32
E52
E41
Persistent Identifier of the first edition:urn:nbn:de:kobv:11-10050640
Document Type:Working Paper
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

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