Wertpapierpensionsgeschäfte. Empirische Analyse der Wirkung des Zinstendersatzes auf die Marktzinsen / Repurchase Agreements. An Empirical Analysis of the Impact on Market Interest Rates

Jaenicke Johannes
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Jaenicke Johannes: Universität Osnabrück, Fachbereich Wirtschaftswissenschaften, Rolandstraße 8, D-49069 Osnabrück

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 1995, vol. 214, issue 2, 209-225

Abstract: This paper examines the influence of monetary policy on market interest rates by testing for Granger-causality between the rates for interest rate tender and the interbank call money rates and the bond-market rates respectively. The direkt Granger test and a modified Hsiao test are used and a possible structural brake is taken into account. The results did not support the hypothesis that the Bundesbank influences the market interest rates with the rates for repurchase agreements but indicate that the interbank call money rates have a strong impact on the interest rate fixing of the Bundesbank.

Date: 1995
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Persistent link: https://EconPapers.repec.org/RePEc:jns:jbstat:v:214:y:1995:i:2:p:209-225

DOI: 10.1515/jbnst-1995-0208

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