Suchergebnisse

I: The Linear Dynamic Econometric Model -- 1. Introduction -- 2. Structural, Reduced and Final Form -- 3. Solutions of the Model -- II: Spectral Representation of the Linear Dynamic Model with Constant Coefficients -- 1. Derivation of the Spectral Matrix -- 2. Numerical Approaches -- 3. An Example: Effects of Residuals -- 4. Spectral Matrix in Unstable Models -- III: Spectral Representation of a Linear Dynamic Econometric Model with Stochastic Coefficients -- 1. Methodological Approach -- 2. Effects of Alternative Estimation Methods on the Dynamic Properties of an Aggregated Demand Model of the FRG -- 3. Empirical Spectral Analysis -- IV: Effects of Exogenous Variables on the Cyclic Properties of an Econometric Model -- 1. Introduction -- 2. Dynamic Properties of an Aggregated Model of the FRG -- 3. Stabilization Policies -- V: Summary -- Appendix A -- Appendix B -- References.

AbstractWe document two stylized facts of US short‐term and long‐term interest rate data seemingly incompatible with the expectations hypothesis: low contemporaneous cross‐correlation and relatively slow adjustment to long‐run relationships. We explain these features in a small structural model with three types of randomness: While a persistent monetary policy shock implies immediate identical reactions through the term structure, both a transitory policy shock and an autocorrelated risk premium allow for sustained deviations. Indeed, we find important impacts and persistence of risk premia and considerable contribution of transitory policy shocks to short rates. Results of standard expectations hypothesis tests can be rationalized.

Eine stabile Geldnachfrage ist eine Grundvoraussetzung für eine erfolgreiche Geldpolitik der Europäischen Zentralbank (EZB). In diesem Beitrag wird untersucht, ob die Geldnachfrage im Euroraum auch im Laufe der Finanzkrise die Bedingung der Stabilität erfüllt. Die Ergebnisse zeigen, dass die Entwicklung der Geldmenge M3 auch während der Finanzkrise in Einklang mit den makroökonomischen Fundamentalvariablen steht. Aus empirischer Sicht sind insbesondere solche Ansätze erfolgreich, die den Immobilienpreisen eine maßgebliche Rolle bei der Erklärung der Geldnachfrage zubilligen. ; A stable money demand relationship is one of the pre-conditions for a successful monetary policy of the European Central Bank (ECB). In this contribution we examine the stability of money demand in the euro area by taken the period of the financial crisis into account. Our results indicate that the broad monetary aggregate M3 has developed still in line with the macroeconomic fundamentals. From an empirical perspective, the specifications should include house prices, as they play a significant role in explaining money demand.