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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

Non-Stationary Interest Rate Differentials and the Role of Monetary Policy

Matros, Philipp - 2011

Persistent link: https://www.econbiz.de/10013124253

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

Matros, Philipp; Weber, Enzo - 2010

Persistent link: https://www.econbiz.de/10008811228

Analysis of the German term structure with robust cointegration methods

Carstensen, Kai - 2001

Persistent link: https://www.econbiz.de/10001596537

On exchange rate comovements : new evidence from a Taylor rule fundamentals model with adaptive learning

Truchis, Gilles de; Dell'Eva, Cyril; Keddad, Benjamin - In: Journal of international financial markets, … 48 (2017), pp. 82-98

Persistent link: https://www.econbiz.de/10011892319

What's on the ECB's mind? : monetary policy before and after the global financial crisis

Zahner, Johannes; Groß, Jonas - 2020

This paper analyzes the interest rate setting of the European Central Bank (ECB) both before and after the outbreak of the global financial crisis. In the current monetary policy literature, researchers typically select one Taylor rule-based model in order to analyze the interest rate setting of...

Persistent link: https://www.econbiz.de/10012162640