Monetary transmission mechanisms and central bank policy
Monetary transmission mechanisms and central bank policy
This thesis consists of four empirical papers which are based on the so-called 'LSE-Methodology' for dynamic modelling of macroeconomic time series data. The aim of the thesis is to provide empirical evidence on monetary transmission mechanisms for monetary policy conducted by the German Bundesbank and by the future European Central Bank.
After a general introduction in Chapter 1 an empirically stable money demand model for M3 in Germany is presented in Chapter 2. The sample period 1975 - 1994 includes German unification. It is shown that this development has not substantially destabilized money demand. Parameter stability is extensively tested and not rejected. Applying encompassing tests, this model encompasses two recent models but is not encompassed by them. Exogeneity of the explanatory variables is discussed and tested along the definitions given in Engle, Hendry and Richard (1983). There is evidence that inflation and long term interest rates are super exogenous with respect to the parameters of the demand for M3 model. This result and the empirical long-run money demand function presented in Chapter 2 may affect the applicability of the so-called 'P-Star concept' for German M3.
The implications of the inclusion of deterministic variables within integrated and cointegrated processes are not trivial due to their cumulating effects. Chapter 3 therefore presents an empirical cointegration analysis where the impact of the use of dummy variables on the estimation of the cointegrating rank is discussed and critical values for different specifications are simulated. Estimation of the cointegrating rank with alternative specifications of deterministic variables is discussed and demonstrated along the problem of a shift in German data due to German unification.
In Chapter 4 a cointegrated system represented as a simultaneous Structural Vector Equilibrium Correction Model for money, prices, output and interest rates in Germany is estimated.
University of Southampton
1998
Beyer, Andreas H
(1998)
Monetary transmission mechanisms and central bank policy.
University of Southampton, Doctoral Thesis.
Record type:
Thesis
(Doctoral)
Abstract
This thesis consists of four empirical papers which are based on the so-called 'LSE-Methodology' for dynamic modelling of macroeconomic time series data. The aim of the thesis is to provide empirical evidence on monetary transmission mechanisms for monetary policy conducted by the German Bundesbank and by the future European Central Bank.
After a general introduction in Chapter 1 an empirically stable money demand model for M3 in Germany is presented in Chapter 2. The sample period 1975 - 1994 includes German unification. It is shown that this development has not substantially destabilized money demand. Parameter stability is extensively tested and not rejected. Applying encompassing tests, this model encompasses two recent models but is not encompassed by them. Exogeneity of the explanatory variables is discussed and tested along the definitions given in Engle, Hendry and Richard (1983). There is evidence that inflation and long term interest rates are super exogenous with respect to the parameters of the demand for M3 model. This result and the empirical long-run money demand function presented in Chapter 2 may affect the applicability of the so-called 'P-Star concept' for German M3.
The implications of the inclusion of deterministic variables within integrated and cointegrated processes are not trivial due to their cumulating effects. Chapter 3 therefore presents an empirical cointegration analysis where the impact of the use of dummy variables on the estimation of the cointegrating rank is discussed and critical values for different specifications are simulated. Estimation of the cointegrating rank with alternative specifications of deterministic variables is discussed and demonstrated along the problem of a shift in German data due to German unification.
In Chapter 4 a cointegrated system represented as a simultaneous Structural Vector Equilibrium Correction Model for money, prices, output and interest rates in Germany is estimated.
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Published date: 1998
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Local EPrints ID: 463390
URI: http://eprints.soton.ac.uk/id/eprint/463390
PURE UUID: 32c48feb-5a94-461e-b5e6-1d5ddf507b6c
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Date deposited: 04 Jul 2022 20:51
Last modified: 04 Jul 2022 20:51
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Author:
Andreas H Beyer
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