The Effect of Monetary Unification on German Bond Markets

Hans Dewachter, Marco Lyrio () and Konstantijn Maes ()

Working Papers of Department of Economics, Leuven from KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven

Abstract: This paper uses reprojection to develop a benchmark to assess ECB monetary policy since January 1999, the start of EMU. We first estimate an essentially affine term structure model for the German SWAP yield curve between 1987:04-1998:12. The German monetary policy is then reprojected onto the EMU period (1999:01-2001:08). We find that the German real interest rate in place during the EMU period is significantly lower than it would have been in case the Bundesbank were still in charge of monetary policy. We also show the effect of EMU on the German SWAP\ yield curve. Short- and medium-term bonds seem to have been more affected than long-term bonds.

Keywords: EMU; ECB; Bundesbank; central bank monetary policy rule; essentially affine term structure model. (search for similar items in EconPapers)
JEL-codes: E43 E44 E52 E58 (search for similar items in EconPapers)
Date: 2002-03
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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Citations: View citations in EconPapers (4)

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Related works:
Journal Article: The Effect of Monetary Unification on German Bond Markets (2004)
Working Paper: The Effect of Monetary Unification on German Bond Markets (2001)
Working Paper: The Effect of Monetary Unification on German Bond Markets (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:ete:ceswps:ces0205

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