search-white-svg
Meine Position
i
Ein Tipp vom Eldar Team
Je mehr Sie bestellen, desto grösser Ihr Rabatt
Lieferbar
Cointegration Analysis in a German Monetary System
Buch
Buch
Fachbuch
2000

Cointegration Analysis in a German Monetary System

ISBN
EAN
978-3-7908-1352-4
9783790813524
Artikel-Nr.
QZGYNK2
Bestpreis-Garantie
Kostenloser Versand
Rabatt
-22.5
%
CHF 130.00
CHF
100.75
Anzahl
1
Maximale
Lieferzeit
33
Arbeitstage
Donnerstag
13.01.2022
speech-bubble-svg Beschreibung
With the decision of the European Central Bank to assign a prominent role to a monetary aggregate in its policy strategy, it is essential to further understand the policy of monetary targeting of the German Bundesbank and the conditions under which it succeeded. The focus of the empirical analysis is on long-run monetary relationships. A small sample simulation analysis compares the size and power properties of a broad range of systems cointegration tests. The results determine the methods chosen for the cointegration analysis of a small system of macroeconomic variables for Germany. Three stable long-run economic relationships are found which are of major interest for the conduct and transmission of monetary policy in Germany. With the stability of the long-run money demand relation one precondition for the monetary targeting strategy of the Bundesbank is fulfilled. The analysis accounts for the structural break of German reunification and examines the robustness of the empirical results.
feather-svg
Stichwörter
search-svg
Bundesbank
search-svg
European Central Bank
search-svg
Europäische Zentralbank
search-svg
Geldmengenziele
search-svg
Geldpolitik
search-svg
Kointegrationsanalyse
search-svg
Monetary Economics
search-svg
Monetary Policy
search-svg
Monetary Targeting
search-svg
Monetary Union
search-svg
Multivariate Cointegration Analysis
search-svg
Währungsunion
Zielgruppe
Research
Inhaltsverzeichnis
1 Introduction.- 1.1 Motivation.- 1.2 Outline.- 2 Systems Cointegration Tests.- 2.1 Introduction.- 2.2 Cointegration Rank Tests: The Framework.- 2.2.1 Data Generating Process.- 2.2.2 Hypotheses and Testing Procedure.- 2.3 Likelihood Ratio Tests.- 2.3.1 DGPs and Test Statistics.- 2.3.1.1 Arbitrary Mean and Trend Term.- 2.3.1.2 Trending Variables and No Trend in the Cointegration Relations.- 2.3.1.3 Arbitrary Mean and No Trend Term.- 2.3.2 Summary of Models and Test Statistics.- 2.3.3 Previous Simulation Studies.- 2.4 Other Tests.- 2.4.1 Tests Based on Canonical Correlations of Levels.- 2.4.1.1 DGPs and Test Statistics.- 2.4.1.2 Previous Simulation Results.- 2.4.2 Stock-Watson Tests.- 2.4.2.1 DGPs and Test Statistics.- 2.4.2.2 Previous Simulation Results.- 2.4.3 Bierens’ Nonparametric Tests.- 2.4.3.1 DGPs and Test Statistics.- 2.4.3.2 Previous Simulation Results.- 2.5 New Small Sample Simulations.- 2.5.1 Previous Simulation Studies.- 2.5.2 Simulation Details.- 2.5.3 The Toda DGP.- 2.5.4 Two-dimensional VAR(1): Simulation Results.- 2.5.4.1 Sizes of the Tests.- 2.5.4.2 Power Performance: DGP without Linear Trend.- 2.5.5 Three-dimensional VAR(1): Simulation Results.- 2.5.5.1 Size of the Tests.- 2.5.5.2 Power Performance: DGP with Linear Trend.- 2.5.6 Three-dimensional VAR(2): DGP and Simulation Results.- 2.5.7 Conclusions from Simulations.- 2.6 Further Deterministic Terms: Dummy Variables.- 2.7 Recommendations for Applied Research.- 3 A Cointegrated Monetary System for Germany.- 3.1 Introduction.- 3.2 Monetary Policy Strategies and the ECB.- 3.2.1 Inflation Targeting versus Monetary Targeting.- 3.2.2 ‘Discretion versus Rule’ or ‘Flexibility versus Transparency’.- 3.2.3 German Monetary Policy: Monetary Targeting and the Stability of the Demand for Money.- 3.3 Long-Run Monetary Relations.- 3.3.1 The Demand for Money.- 3.3.1.1 Theories on Money Demand.- 3.3.1.2 Recent Empirical Literature of the Demand for the Monetary Aggregate M3 in Germany.- 3.3.1.3 Estimation of Money Demand Systems for other Countries.- 3.3.2 The Term Structure of Interest Rates.- 3.3.2.1 The Expectations Theory of the Term Structure.- 3.3.2.2 Cointegration Analysis of the Term Structure of Interest Rates.- 3.3.3 The Fisher Effect.- 3.3.3.1 Is the Real Interest Rate Stationary?.- 3.3.3.2 Recent Empirical Evidence for the Fisher Effect.- 3.4 Empirical Analysis.- 3.4.1 The initial VAR.- 3.4.1.1 Data.- 3.4.1.2 Univariate Tests for Unit Roots.- 3.4.1.3 Model Specification.- 3.4.2 Tests for the Cointegration Rank.- 3.4.2.1 The Johansen Rank Test.- 3.4.2.2 Trend-adjusted LR Tests.- 3.4.2.3 Rank Test for a Model without a linear Trend.- 3.4.3 Testing Restrictions on the Cointegration Space.- 3.4.3.1 Weak Exogeneity and Stationarity.- 3.4.3.2 Long-run Restrictions.- 3.4.3.3 The Cointegration Vectors: Economic Interpretation.- 3.4.4 Conclusion.- 4 Concluding Remarks and Outlook.- 4.1 Systems Cointegration Tests.- 4.2 Empirical Analysis of a German Monetary System.- 4.3 Further Research.- 4.4 Outlook: Lessons for the ECB.- A Trend-adjusted LR Tests: Dummy Variables.- B Data.- List of Figures.- List of Tables.
feather-svg
Herausgeber/-in
Publikation
Deutschland
27.11.2000
speech-bubble-svg
Sprache
Englisch
book-svg Format
Softcover
177 Seiten
23 cm
(Höhe)
15 cm
(Breite)
300 g
(Gewicht)
package-svg Versand
Kostenloser Versand: Schweiz & Liechtenstein
Für den Versand nach Deutschland oder Frankreich werden die Versandgebühren der Schweizerischen Post berechnet. Diese werden Ihnen im Warenkorb für Ihre gesamte Bestellung berechnet.
credit-card-svg Zahlungsarten
payment-einzahlungsschein payment-twint payment-mastercard payment-visa payment-american-express payment-paypal
Bestellen Sie einfach auf Rechnung oder bezahlen Sie bequem und gebührenfrei mit Twint, Kreditkarte oder PayPal.
subcategories-svg
Passende Themen
Zurück
Zum Start
S
SPIEGEL Bestseller
Hauptkategorie