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Further VAR evidence for the effectiveness of a credit channel in Germany
Holtemöller, Oliver - 2002
In this paper, the empirical relevance of the credit channel for the explanation of monetary policy transmission in … Germany during the period of monetary targeting from 1975 to 1998 is analyzed. While existing studies of the credit channel … empirical evidence for the effectiveness and relevance of a credit channel in Germany can be reported. -- vectorautoregressive …
Persistent link: https://www.econbiz.de/10009626675
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Lag selection in subset VAR models with an application to a US monetary system
Brüggemann, Ralf; Lütkepohl, Helmut - 2000
Alternative modeling strategies for specifying subset VAR models are considered. It is shown that under certain conditions a testing procedure based on t-ratios is equivalent to sequentially eliminating lags that lead to the largest improvement in a prespecified model selection criterion. A...
Persistent link: https://www.econbiz.de/10009583885
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Was there a regime change in the German monetary transmission mechanism in 1983?
Candelon, Bertrand; Lütkepohl, Helmut - 2000
Recent investigations of the transmission mechanism of German monetary policy arrive at quite different conclusions regarding its stability during the period of monetary targeting by the Bundesbank. In this study small dynamic models for the monetary sector of the German economy are analyzed in...
Persistent link: https://www.econbiz.de/10009583433
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Structural vector autoregressive models and monetary policy analysis
Holtemöller, Oliver - 2002
In this paper, the structural vector autoregressive (SVAR) model is used to analyze short-run and contemporaneous … possibility is to adopt restrictions from economic theory. The purpose of this paper is to investigate the implications of the … ; Impulse response analysis ; IS-LM-AS model ; structural vector autoregressive (SVAR) models …
Persistent link: https://www.econbiz.de/10009620773
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The transmission of German monetary policy in the pre-Euro period
Lütkepohl, Helmut; Wolters, Jürgen - 2001
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...
Persistent link: https://www.econbiz.de/10009616780
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Did the Fed surprise the markets in 2001? : a case study for VARs with sign restrictions
Uhlig, Harald - 2001
In 2001, the Fed has lowered interest rates in a series of cuts, starting from 6.5 % at the end of 2000 to 2.0 % by early November. This paper asks, whether the Federal Reserve Bank has been surprising the markets, taking as given the conventional view about the effect of monetary policy shocks....
Persistent link: https://www.econbiz.de/10009618362
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Comparison of bootstrap confidence intervals for impulse responses of German monetary systems
Benkwitz, Alexander; Lütkepohl, Helmut; Wolters, Jürgen - 1999
It is argued that standard impulse response analysis based on vector autoregressive models has a number of shortcomings. Although the impulse responses are estimated quantities, measures for sampling variability such as confidence intervals are often not provided. If confidence intervals are...
Persistent link: https://www.econbiz.de/10009580485
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Exploring credit data
Müller, Marlene; Härdle, Wolfgang - 2002
of a credit score and the estimation of the probability of default. One of the standard approaches is logistic …Credit scoring methods aim to assess the default risk of a potential borrower. This involves typically the calculation … discriminant analysis, also referred to as logit model. This model maps explanatory variables for the default risk to a credit …
Persistent link: https://www.econbiz.de/10009627282
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Bootstrapping impulse responses in VAR analyses
Lütkepohl, Helmut - 2000
Because the parameters of vector autoregressive processes are often difficult to interpret directly, econometricians use quantities derived from the parameters to disentangle the relationships between the variables. Bootstrap methods are often used for inference on the derived quantities....
Persistent link: https://www.econbiz.de/10009583428
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Banks' supply of loans : when future monetary policy is uncertain
Mitusch, Kay; Nautz, Dieter - 1998
domestic credit institutions. In this monetary setup, banks use short-term central bank credits extensively in order to …
Persistent link: https://www.econbiz.de/10009578028