An Empirical Analysis of the Changing Role of the German Bundesbank after 1983

Katarina Juselius

No 96-18, Discussion Papers from University of Copenhagen. Department of Economics

Abstract: A cointegrated VAR model describing a small macroeconomic system consisting of money, income, prices, and interest rates is estimated on split sample data before and after 1983. The monetary mechanisms were found to be significantly different. Before 1983, the money supply seemed controlable and expansion or contraction of money supply had the expected effect on prices, income, and interest rates. After 1983, the conventional mechanisms no longer seemed to work. The empirical analysis pointed to the crucial role of the bond rate in the system, particularly for the more recent period.

JEL-codes: E52 E58 (search for similar items in EconPapers)
Date: 1996-12
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Published in: Oxford Bulletin of Economics and Statistics, 1996, 58(4) pp 791-819

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