The Effect of Monetary Unification on German Bond Markets

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

International Economics Working Papers Series from Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics

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. 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)
Pages: 37 pages
Date: 2001-11
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.econ.kuleuven.ac.be/ew/admin/Publications/Dps0205.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to www.econ.kuleuven.ac.be:80 (No such host is known. )

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 (2002)
Working Paper: The Effect of Monetary Unification on German Bond Markets (2001)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kul:kulwps:ces0205

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in International Economics Working Papers Series from Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics Contact information at EDIRC.
Bibliographic data for series maintained by Jan Van Hove ( this e-mail address is bad, please contact ).