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The Link between German Short- and Long-Term Interest Rates. Some Evidence against a Term Structure Oriented Monetary Policy / Der Zusammenhang zwischen kurz- und langfristigen Zinssätzen in Deutschland. Empirische Evidenz gegen eine zinsstrukturorientierte Geldpolitik

Uwe Hassler and Dieter Nautz ()

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 1998, vol. 217, issue 2, 214-226

Abstract: Critics of the Bundesbank's monetary policy recently suggested the abandonment of monetary targeting in favour of the term structure of interest rates as the main indicator of central bank policy. However, a term structure oriented policy requires a reliable link between short- and long-term interest rates. Our analysis clearly suggests that there is no stable relationship between German short- and long-term interest rates, in particular not after the German monetary union. Consequently, the empirical results of this paper indicate that this policy has not much chance of success.

Keywords: Term structure of interest rates; intermediate targets of monetary policy; stability of cointegration relations; Zinsstruktur; mittelfristige Ziele der Geldpolitik; Stabilitätsuntersuchung der Kointegrationsbeziehungen (search for similar items in EconPapers)
Date: 1998
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