Monetary policy in Germany: A cointegration analysis on the relevance of interest rate rules

Maria Eleftheriou

Economic Modelling, 2009, vol. 26, issue 5, 946-960

Abstract: The paper attempts to identify an empirical relationship that characterizes the way the Bundesbank adjusted its short-term rate with respect to various objectives. By building on a careful exploration of the properties of the variables involved, it is established that interest rate rules --often remarkably similar to the Taylor rule-- remain valid and relevant in a Vector Error Correction framework, and thereby proposing a distinctive interpretation of German monetary policy during the period 1975-1998.

Keywords: Cointegration; Impulse; response; analysis; Monetary; policy; Taylor; rule; Vector; error; correction; model; Deutsche; Bundesbank (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:26:y:2009:i:5:p:946-960

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