ISSN:
1435-8921
Keywords:
Key words: Money demand
;
Fisher effect
;
interest rate spread
;
German monetary policy
;
Johansen procedure
;
JEL classifications: E41
;
E43
;
C32
;
C51
;
C52
Source:
Springer Online Journal Archives 1860-2000
Topics:
Economics
Notes:
Abstract. This study presents a multivariate analysis of the stability of long-run relationships between variables that influence the conduct and transmission process of the German monetary policy. The initial VAR comprises the variables real money M3, real GNP, the inflation rate, a long-term and a weighted short-term interest rate. A multivariate approach has been chosen, as this allows for more than one cointegration relationship and to test restrictions on the cointegration space. In contrast to most other studies on German monetary policy, three stable and economically plausible cointegration relationships are obtained simultaneously within the framework of the Johansen procedure: a money demand relationship, a long-run Fisher effect and a long-run relationship between the short- and the long-term interest rate. It is apparent that the structural break of German reunification can be modelled incorporating dummy variables in the model.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/s001810050045
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