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Monetary policy, global liquidity and commodity price dynamics

Belke, Ansgar; Bordon, Ingo G.; Hendricks, Torben - 2010

This paper examines the interactions between money, interest rates, goods and commodity prices at a global level. For this purpose, we aggregate data for major OECD countries and follow the Johansen/Juselius cointegrated VAR approach. Our empirical model supports the view that, when controlling...

Persistent link: https://www.econbiz.de/10010208787

Central Bank Policy Rates : Are They Cointegrated?

Caporale, Guglielmo Maria - 2017

the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques …

Persistent link: https://www.econbiz.de/10012958879

Central Bank Policy Rates : Are They Cointegrated?

Caporale, Guglielmo Maria - 2017

the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques …

Persistent link: https://www.econbiz.de/10012960910

Chinese monetary policy and the dollar peg

Reade, J. James; Volz, Ulrich - 2010

cointegration framework to examine whether Chinese interest rates are driven by the Fed's policy. In a second step, we estimate a … exert relatively autonomous monetary policy. -- Chinese monetary policy ; monetary independence ; cointegration …

Persistent link: https://www.econbiz.de/10008796581

Non-stationary interest rate differentials and the role of monetary policy

Matros, Philipp; Weber, Enzo - 2011

bivariate cointegration between domestic and foreign interest rates. We explain non-stationarity of the interest differential … stochastic trend into the system. Trivariate cointegration between the interest rates and the exchange rate accounts for the … ; Monetary Policy Rules ; Cointegration ; Vector-Error Correction Model …

Persistent link: https://www.econbiz.de/10009511974

A Monetary Vector Error Correction Model of the Euro Area and Implications for Monetary Policy

Holtemöller, Oliver - 2017

-term interest rate with three identified cointegration relations is specified. It is shown that Euro area money and prices can be …

Persistent link: https://www.econbiz.de/10012951761

Monetary Policy, Global Liquidity and Commodity Price Dynamics

Belke, Ansgar Hubertus - 2010

Persistent link: https://www.econbiz.de/10013144671

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

Lütkepohl, Helmut; Wolters, Jürgen - 2021

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/10013320723

Impact of Monetary Policy on Economic Growth in Nigeria : The Vector Error Correction Model (VECM) Approach

Adesanya, Babatunde; Ogakwu, Julius Ogbaji - 2022

This study examined the impact of monetary policy on economic growth in Nigeria. The secondary data used include the Money supply, economic growth, Credit to the private sector, Interest rate and Exchange rate. The Vector Error Correction model (VECM) was adopted as the estimation technique of...

Persistent link: https://www.econbiz.de/10014078028

Monetary Policy Transmission Mechanisms and Currency Unions : A Vector Error Correction Approach to a Trans-Tasman Currency Union

Haug, Alfred Albert; Karagedikli, Özer; Ranchhod, Satish - 2006

Transmission mechanisms are the channels through which monetary policy affects macroeconomic variables, such as GDP and inflation. Differences in transmission mechanisms can generate asymmetric behaviour among currency union partners when they experience shocks. This has the potential to widen...

Persistent link: https://www.econbiz.de/10014083025