Stability issues in German money multiplier forecasts

Rainer Polster, Andreas Gottschling

This paper investigates the stability of the German money supply focusing on the period 1991 - 1998. It is shown that the standard ARIMA-Transfer model approach in the literature needs to be augmented by a cointegration term to adequately model the dynamics of money supply in Germany. Additional analysis with regard to the influence of financial innovations on the control of money supply yields evidence that the influence of financial innovations on the multiplier has increased steadily during the observation period.

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Year of publication:	1999
Authors:	Polster, Rainer ; Gottschling, Andreas
Publisher:	Frankfurt a. M. : Deutsche Bank Research
Subject:	Money Supply \| Financial Innovation \| Forecasting Money Multiplier \| Geldschöpfung \| Money creation \| Geldmenge \| Money supply \| Volatilität \| Volatility \| Finanzprodukt \| Financial product \| ARCH-Modell \| ARCH model \| Schätzung \| Estimation \| Deutschland \| Germany \| 1991-1998

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Extent:	Online-Ressource (22 S.) graph. Darst.
Series:	Research notes in economics & statistics. - Frankfurt, M. : DB Research, ISSN 1613-8333, ZDB-ID 2814336-X. - Vol. 99-8
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
Other identifiers:	hdl:10419/40264 [Handle]
Classification:	E4 - Money and Interest Rates ; E5 - Monetary Policy, Central Banking and the Supply of Money and Credit
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10010503733