A cointegrated VAR model describing a small macroeconomic system consisting of money, income, prices, and interest rates is estimated on split sample data before and after 1983. The monetary mechanisms were found to be significantly different. Before 1983, the money supply seemed controlable and expansion or contraction of money supply had the expected effect on prices, income, and interest rates. After 1983, the conventional mechanisms no longer seemed to work. The empirical analysis pointed to the crucial role of the bond rate in the system, particularly for the more recent period.
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Paper provided by University of Copenhagen. Department of Economics in its series Discussion Papers with number
96-18.
Length: 27 pages Date of creation: Dec 1996 Date of revision: Publication status: Published in: Oxford Bulletin of Economics and Statistics, 1996, 58(4) pp 791-819 Handle: RePEc:kud:kuiedp:9618
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Find related papers by JEL classification: E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
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