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Monetary Transmission in Germany: Evidence From a Structural Econometric Model

Author

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  • Andreas Beyer

    (University of Copenhagen Institute of Economics)

Abstract

In this paper a cointegrated system represented as a simultaneous Vector Equilibrium Correction Model for money, prices, output and interest rates in Germany is estimated. The model gives insight in the process of transmission mechanisms of the Bundesbank's monetary policy. The empirical results are consistent with markets' perceptions of a credible monetary policy by which the Bundesbank sticks to its announced monetary targets. A policy reactionfunction for short term interest rates is found which is very similar to a Taylortype feedback rule.

Suggested Citation

  • Andreas Beyer, 1998. "Monetary Transmission in Germany: Evidence From a Structural Econometric Model," Discussion Papers 98-05, University of Copenhagen. Department of Economics.
    • Handle: RePEc:kud:kuiedp:9805
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    Cited by:

    1. Hesse, Heiko, 2007. "Monetary policy, structural break and the monetary transmission mechanism in Thailand," Journal of Asian Economics, Elsevier, vol. 18(4), pages 649-669, August.

    More about this item

    Keywords

    cointegration; vector equilibrium correction model; monetary transmission; monetary policy;
    All these keywords.

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit

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