Estimation of a German money demand system - a long-run analysis

Hubrich, Kirstin

doi:10.1007/s001810050045

Cited by 22 publications

(19 citation statements)

References 47 publications

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“…For shorter samples a rank between one and three is indicated. Given the intuitive economic interpretation, and in line with Hubrich (1999Hubrich ( , 2001) for a similar set variables in a shorter sample period, a rank of three was imposed. 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 0 1.8 Figure 5 Recursive cointegration rank 16 If a restricted trend is included, the cointegrating rank would be only one.…”

Section: Robustness Of the Resultsmentioning

confidence: 99%

“…Therefore, the analysis presented here extends the multivariate approach applied to a German macroeconomic system in Hubrich (1999Hubrich ( , 2001) employing the long-run relationships analysed there, that is a money demand relation, a Fisher relation as well as an interest rate spread, as a basis for modelling a dynamic cointegrated system for Germany. For this purpose the structural vector error correction -6 -model (S-VECM) approach suggested by Vlaar (1998), that incorporates restrictions on the cointegration vectors, will be applied to analyse the transmission of shocks in the economy.…”

Section: Introductionmentioning

confidence: 99%

“…The analyses of a German monetary system presented by Juselius (1996Juselius ( , 1998, Hubrich (1999Hubrich ( , 2001), Lütkepohl and Wolters (1998) and Beyer (1998) have also shown that the structural break embodied by German reunification can be modelled by dummy variables. Covering different sample periods and seasonally unadjusted as well as seasonally adjusted data, these studies, except for Juselius (1996Juselius ( , 1998, find a stable German money demand relation.…”

Section: Introductionmentioning

confidence: 99%

“…Moreover, the F-form of a likelihood ratio test rejected the reduction of the VAR (2) The cointegration rank was fixed at three based on both economic and statistical arguments (see Appendix B). As in Hubrich (1999Hubrich ( , 2001) the three cointegrating relations are identified as a money demand relation, an interest rate spread and a stationary real interest rate. As the term spread and real interest rates are stationary themselves, their influence on long-run money demand can not be determined.…”

Section: Introductionmentioning

confidence: 99%

“…The test indicates a cointegration rank of r = 4 on a 5% significance level. 15 In our five variable system without trend, a rank of four would imply stationary interest rates, inflation rate and a relation between 14 For a review of different cointegration rank tests, see for example Hubrich, Lütkepohl and Saikkonen (2001) and also Hubrich (1999) focussing on the small sample performance of different systems cointegration tests.…”

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confidence: 99%

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Monetary transmission in Germany: Lessons for the Euro area

Hubrich

Vlaar

2004

Empirical Economics

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This study analyses the transmission of monetary policy in Germany for the EMS period in the framework of a structural vector error correction model (S-VECM). Three stable cointegration relationships are found: a money demand relation, an interest rate spread and a stationary real interest rate. Based on both contemporaneous and long-run restrictions, five structural shocks to the economy are identified.In contrast to analyses for the euro area, we find that output and inflation are not independent in the long run for Germany. In accordance with results previously found for Europe, we do not find strong support for monetary targeting for Germany. Our analysis indicates that uncertainties remain concerning the controllability of money and its usefulness as a leading indicator with respect to inflation. Stability of the money demand relationship does not seem to be problematic.

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Section: Robustness Of the Resultsmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

mentioning

confidence: 99%

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Monetary transmission in Germany: Lessons for the Euro area

Hubrich

Vlaar

2004

Empirical Economics

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A small monetary system for the euro area based on German data

Brüggemann

Lütkepohl

2006

J of Applied Econometrics

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Previous euro area money demand studies have used aggregated national time series data from the countries participating in the European Monetary Union (EMU). However, aggregation may be problematic because macroeconomic convergence processes have taken place in the countries of interest. Therefore, in this study, quarterly German data until 1998 are combined with data from the euro area from 1999 until 2002 and these series are used for fitting a small vector error correction model for the monetary sector of the EMU. A stable long-run money demand relation is found for the full sample period. Moreover, impulse responses do not change much when the sample period is extended by the EMU period provided the break in the extended data series is captured by a simple dummy variable. 1 The Maastricht criteria specify reference values for government deficit and debt, the inflation rate and the long-term interest rates. For instance, the deficit criterion is met when the government deficit does not exceed 3% of GDP, while the debt criterion is met when gross government debt is not exceeding 60% of GDP.

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Firm Size and Monetary Policy Transmission — Evidence from German Business Survey Data

Ehrmann

Ifo Survey Data in Business Cycle and Monetary Policy Analysis

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Estimation of a German money demand system - a long-run analysis

Cited by 22 publications

References 47 publications

Monetary transmission in Germany: Lessons for the Euro area

Monetary transmission in Germany: Lessons for the Euro area

A small monetary system for the euro area based on German data

Firm Size and Monetary Policy Transmission — Evidence from German Business Survey Data

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