The Transmission of German Monetary Policy in the Pre-Euro Period

25 Pages Posted: 29 Nov 2001

See all articles by Helmut Luetkepohl

Helmut Luetkepohl

European University Institute; CESifo (Center for Economic Studies and Ifo Institute)

Jürgen Wolters

Free University of Berlin (FUB)

Date Written: November 2001

Abstract

A small macroeconomic model is constructed to study the transmission of the monetary policy conducted by the Deutsche Bundesbank (DBB) since the middle of the 1970s. For this purpose quarterly, seasonally unadjusted data for the period from 1975 to 1998 are used, that is, the period until the introduction of the Euro is considered. A vector error correction model is constructed for the German monetary sector based on M3, GNP, an inflation rate, a long-term interest rate and a short-term rate which represents the policy variable of the DBB. Moreover, import price inflation is included as an exogenous variable to capture foreign effects. An impulse response analysis highlights the effects of changes in the short-term interest rate and shows the interaction of the main variables of the monetary sector. Monetary Policy, Money Demand, Structural Vector Error Correction Model

Keywords: Cointegration Analysis, Impulse Response Analysis,

JEL Classification: C32, E52, E41

Suggested Citation

Luetkepohl, Helmut and Wolters, Jürgen, The Transmission of German Monetary Policy in the Pre-Euro Period (November 2001). Available at SSRN: https://ssrn.com/abstract=292234

Helmut Luetkepohl (Contact Author)

European University Institute ( email )

Villa San Paulo
Via della Piazzola 43
I-50133 Firenze
Italy
+39 055 4685 971 (Phone)
+39 055 4685 902 (Fax)

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

Jürgen Wolters

Free University of Berlin (FUB) ( email )

Van't-Hoff-Str. 8
D-10785 Berlin, Berlin 14195
Germany
+49-30-838-2014 (Phone)
+49-30-838-4142 (Fax)

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
176
Abstract Views
1,311
rank
211,413
PlumX Metrics