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Was there a regime change in the German monetary transmission mechanism in 1983?
Candelon, Bertrand; Lütkepohl, Helmut - 2000
policy was satisfied. -- cointegration analysis ; monetary policy ; Markov regime switching analysis ; money demand ; vector …
Persistent link: https://www.econbiz.de/10009583433
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Inference for adaptive time series models : stochastic volatility and conditionally Gaussian state space form
Bos, Charles S.; Shephard, Neil G. - 2004
In this paper we replace the Gaussian errors in the standard Gaussian, linear state space model with stochastic volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algorithms for this type of model are ineffective, but that this problem can be removed by...
Persistent link: https://www.econbiz.de/10011334849
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Inference for Adaptive Time Series Models : Stochastic Volatility and Conditionally Gaussian State Space Form
Bos, Charles S.; Shephard, Neil - 2004
In this paper we replace the Gaussian errors in the standard Gaussian, linear state space model with stochastic volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algorithms for this type of model are ineffective, but that this problem can be removed by...
Persistent link: https://www.econbiz.de/10014073593
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A note on the synchronisation of the natural rates of interest in Germany and the Euro Area
Berger, Tino; Ochsner, Christian - 2024
synchronization between Germany, the largest Euro area economy, and the entire Euro area. Utilizing Bayesian estimation of the Holston …
Persistent link: https://www.econbiz.de/10014631143
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A partially linear approach to modelling the dynamics of spot and futures prices
Gaul, Jürgen; Theissen, Erik - 2012 - This version: August 2012
This paper considers the dynamics of spot and futures prices in the presence of arbitrage. A partially linear error correction model is proposed where the adjustment coefficient is allowed to depend non-linearly on the lagged price difference. The model is estimated using data on the DAX index...
Persistent link: https://www.econbiz.de/10009750074
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The new Keynesian model and the long-run vertical Phillips curve : does it hold for Germany?
Gottschalk, Jan; Fritsche, Ulrich - 2006
rate, unemployment and inflation in West Germany from the early 1960s up to 2004 using a multivariate co-integration …
Persistent link: https://www.econbiz.de/10010426365
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A partially linear approach to modelling the dynamics of spot and futures prices
Gaulke, Jürgen (contributor); Theissen, Erik (contributor) - 2008
In this paper we consider the dynamics of spot and futures prices in the presence of arbitrage. We propose a partially linear error correction model where the adjustment coefficient is allowed to depend non-linearly on the lagged price difference. We estimate our model using data on the DAX...
Persistent link: https://www.econbiz.de/10003750067
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On mean reversion in real interest rates : an application of threshold cointegration
Jumah, Adusei; Kunst, Robert M. - 2002
Using data from Germany, Japan, UK, and the U.S., we explore possible threshold cointegration in nominal short- and … long-run interest rates with corresponding inflation rates. Traditional cointegration implies perfect mean reversion in … real rates and hence confirms the Fisher hypothesis. Threshold cointegration accounts for the possibility that this mean …
Persistent link: https://www.econbiz.de/10009725013
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Interest rate pass-through in Germany and the euro area
Borstel, Julia von - 2008
This paper analyzes the interest rate pass-through for Germany and the euro area using for the first time a fully harmonized data set on bank retail rates. In a vector error correction model, the speed and completeness of the pass-through from market rates to bank interest rates are estimated...
Persistent link: https://www.econbiz.de/10010206376
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The great moderation and the decoupling of monetary policy from long-term rates in the US and Germany
Greenwood-Nimmo, Matthew; Shin, Yongcheol; Treeck, Till van - 2010
We apply the asymmetric ARDL model advanced by Shin, Yu and Greenwood-Nimmo (2009) to the analysis of the patterns of pass-through from policy-controlled interest rates to a variety of longer-term rates in the U.S. and Germany. Our results reveal three main phenomena. Firstly, while the effect...
Persistent link: https://www.econbiz.de/10009306630