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Was there a regime change in the German monetary transmission mechanism in 1983?

Candelon, Bertrand; Lütkepohl, Helmut - Sonderforschungsbereich 373, Quantifikation und … - 2000

Recent investigations of the transmission mechanism of German monetary policy arrive at quite different conclusions regarding its stability during the period of monetary targeting by the Bundesbank. In this study small dynamic models for the monetary sector of the German economy are analyzed in...

Persistent link: https://www.econbiz.de/10010983546

The transmission of German monetary policy in the pre-Euro period

Lütkepohl, Helmut; Wolters, Jürgen - Sonderforschungsbereich 373, Quantifikation und … - 2001

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/10010983578

Currency substitution and the stability of the Italian demand for money before the entry into the monetary union, 1972 - 1998

Nielsen, Hannah; Tullio, Giuseppe; Wolters, Jürgen - Sonderforschungsbereich 373, Quantifikation und … - 2000

A money demand function for M2 is estimated for Italy for the period 1972-1998 within an error correction framework. This period has been characterized by major structural changes in the Italian financial system and by major changes in monetary policy. This study takes these changes into...

Persistent link: https://www.econbiz.de/10010983819

Testing for the cointegrating rank of a VAR process with level shift at unknown time

Lütkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten - Sonderforschungsbereich 373, Quantifikation und … - 2001

A systems cointegration rank test is proposed which is applicable for vector autoregressive (VAR) processes with a …

Persistent link: https://www.econbiz.de/10010983447

Vector autoregressive analysis

Lütkepohl, Helmut - Sonderforschungsbereich 373, Quantifikation und … - 1999

An introduction to vector autoregressive (VAR) analysis is given with special emphasis on cointegration. The models …

Persistent link: https://www.econbiz.de/10010983603

On the small sample properties of weak exogeneity tests in cointegrated VAR models

Brüggemann, Ralf - Sonderforschungsbereich 373, Quantifikation und … - 2002

We investigate the small sample properties of two types of weak exogeneity tests in cointegrated VAR models that are frequently used in applied work. The first one is the standard Likelihood Ratio (LR) test in the Johansen framework. The second test is based on mapping the cointegrated VAR model...

Persistent link: https://www.econbiz.de/10010983620

Nonparametric estimation in a nonlinear cointegration type model

Karlsen, Hans Arnfinn; Myklebust, Terje; Tjøstheim, Dag - Sonderforschungsbereich 373, Quantifikation und … - 2000

interpreted as a nonlinear cointegration type relationship, but we believe that our results have wider interest. The class of …

Persistent link: https://www.econbiz.de/10010983732

Comparison of tests for the cointegrating rank of a VAR process with a structural shift

Lütkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten - Sonderforschungsbereich 373, Quantifikation und … - 2000

Two different types of tests for the cointegrating rank of VAR processes with a deterministic shift in the level have been proposed in the literature. The first proposal is based on the LR principle using a specific Gaussian model set-up. In the second proposal the time series are adjusted for...

Persistent link: https://www.econbiz.de/10010983737

Money and prices: An I(2) analysis for the euro area

Holtemöller, Oliver - Sonderforschungsbereich 373, Quantifikation und … - 2002

The concept of integrated stochastic processes is widely used in empirical macroeconomics; and cointegration analysis …

Persistent link: https://www.econbiz.de/10010983755

On the effects of aggregating cointegrated variables over time

Müller, Christian - Sonderforschungsbereich 373, Quantifikation und … - 2002

(cointegration). It will be shown that aggregation does not distort the cointegration relation while some other features of the data … generating process will change considerably. Cointegration tests become invalid in a single equation framework but system … cointegration analysis seems to be robust against various aggregation strategies. …

Persistent link: https://www.econbiz.de/10010983765