Monetary policy in Germany : a cointegration analysis on the relevance of interest rate rules
Title: Monetary policy in Germany : a cointegration analysis on the relevance of interest rate rules
Author: ELEFTHERIOU, Maria
Citation: Economic modelling, 2009, Vol. 26, No. 5, pp. 946-960
The paper attempts to identify an empirical relationship that characterizes the way the Bundesbank adjusted its short-term rate with respect to various objectives. By building on a careful exploration of the properties of the variables involved, it is established that interest rate rules —often remarkably similar to the Taylor rule— remain valid and relevant in a Vector Error Correction framework, and thereby proposing a distinctive interpretation of German monetary policy during the period 1975–1998.
Subject: Cointegration; Impulse response analysis; Monetary policy; Taylor rule; Vector error correction model; Deutsche Bundesbank; C32; E52; E58
Preceding version: http://hdl.handle.net/1814/4912
Version: Published part of EUI PhD thesis, 2006
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