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  1. Capital mobility, consumption substitutability, and the effectiveness of monetary policy in open economies
    Author: Pierdzioch, Christian
    Published: 2002
    Publisher:  Inst. für Weltwirtschaft, Kiel

    This paper uses a dynamic general equilibrium two-country optimizing model to analyze the consequences of international capital mobility for the effectiveness of monetary policy in open economies. The model shows that the substitutability of goods... more

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    This paper uses a dynamic general equilibrium two-country optimizing model to analyze the consequences of international capital mobility for the effectiveness of monetary policy in open economies. The model shows that the substitutability of goods produced in different countries plays a central role for the impact of international capital mobility on the effectiveness of monetary policy. Paralleling the results of the traditional Mundell-Fleming model, a higher degree of international capital mobility increases the effectiveness of monetary policy only if the Marshall-Lerner condition, which is linked to the cross-country substitutability of goods, holds.

     
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
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    Series: Kiel working paper ; 1110
    Subjects: Kapitalmobilität; Geldpolitik; Wirkungsanalyse; Substitutionsgüter; Zwei-Länder-Modell; Offene Volkswirtschaft; Dynamisches Gleichgewicht; Theorie; Elastizitätsansatz
    Scope: 24 S, graph. Darst, a
  2. Exchange rate expectations redux and monetary policy
    Author: Pierdzioch, Christian
    Published: 2002
    Publisher:  Inst. für Weltwirtschaft, Kiel

    This paper uses a dynamic general equilibrium optimizing two-country model to analyze how the formation of exchange rate expectations shapes the effects of monetary policy shocks in open economies. The model implies that the short-run output effects... more

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    This paper uses a dynamic general equilibrium optimizing two-country model to analyze how the formation of exchange rate expectations shapes the effects of monetary policy shocks in open economies. The model implies that the short-run output effects of permanent monetary policy shocks diminish if 'noise traders' in the foreign exchange market form regressive exchange rate expectations. If the influence of these noise traders is strong enough, a permanent expansionary monetary policy shock can result in a temporary decline of the output in the country in which it takes place. The output effects of temporary monetary policy shocks are magnified when noise traders form regressive exchange rate expectations.

     
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
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    Series: Kiel working paper ; 1109
    Subjects: Geldpolitik; Schock; Wechselkurstheorie; Erwartungsbildung; Noise Trading; Offene Volkswirtschaft; Dynamisches Gleichgewicht; Theorie; Wirkungsanalyse
    Scope: 33 S, graph. Darst, a
  3. The accuracy of press reports regarding the foreign exchange interventions of the Bank of Japan
    Author: Frenkel, Michael; Pierdzioch, Christian; Stadtmann, Georg
    Published: 2002
    Publisher:  Inst. für Weltwirtschaft, Kiel

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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
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    Series: Kiel working paper ; 1108
    Subjects: Wechselkurspolitik; Politische Kommunikation; Wirtschaftsinformation; Monetärer Indikator; Schätzung; Japan
    Scope: 20 S
  4. Consumer preferences and the reliability of Euler equation tests of capital mobility
    some simulation-based evidence
    Author: Buch, Claudia M.; Döpke, Jörg; Pierdzioch, Christian
    Published: 2002
    Publisher:  Inst. für Weltwirtschaft, Kiel

    The debate on the risks and benefits of the globalisation of international capital markets has focused on the volume and the volatility of the main capital flows ? foreign direct investment (FDI), portfolio investment, and foreign bank lending.... more

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    The debate on the risks and benefits of the globalisation of international capital markets has focused on the volume and the volatility of the main capital flows ? foreign direct investment (FDI), portfolio investment, and foreign bank lending. Financial transfers in the form of worker remittances have received less attention in this context. This paper provides an analysis on the magnitude of remittances, their volatility, and their relationship to other capital flows. Moreover, we provide empirical evidence on the determinants of remittances and private capital flows.

     
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
    Format: Print
    RVK Categories: QD 000 ; QM 000
    Series: Kiel working paper ; 1131
    Subjects: Kapitalmobilität; Intertemporale Entscheidung; Zeitreihenanalyse; Simulation; Schätzung; Theorie; Welt; Variationsrechnung; Neue Makroökonomik offener Volkswirtschaften
    Scope: 33 S., graph. Darst., a
  5. Financial market integration and business cycle volatility in a monetary union
    Author: Pierdzioch, Christian
    Published: 2002
    Publisher:  Inst. für Weltwirtschaft, Kiel

    This paper uses a dynamic general equilibrium two-country optimizing sticky-price model to analyze the consequences of international financial market integration for the propagation of asymmetric productivity shocks in a monetary union. The model... more

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    This paper uses a dynamic general equilibrium two-country optimizing sticky-price model to analyze the consequences of international financial market integration for the propagation of asymmetric productivity shocks in a monetary union. The model implies that business cycle volatility is higher the more integrated the capital markets of the member countries of the monetary union are.

     
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
    Format: Print
    Series: Kieler Arbeitspapier ; 1115
    Subjects: Konjunkturzusammenhang; Schock; Volatilität; Währungsunion; Internationaler Finanzmarkt; Marktintegration; Offene Volkswirtschaft; Makroökonomik; Allgemeines Gleichgewicht; Kapitalmobilität; Theorie; Neue Makroökonomik offener Volkswirtschaften
    Scope: 24 S, graph. Darst, a
    Notes:

    Literaturverz. S. 18 - 19
  6. Financial openness and business cycle volatility
    Author: Buch, Claudia M.; Döpke, Jörg; Pierdzioch, Christian
    Published: 2002
    Publisher:  Inst. für Weltwirtschaft, Kiel

    This paper discusses whether the integration of international financial markets affects business cycle fluctuations. In the framework of a new open economy macro-model, we show that the link between financial openness and business cycle volatility... more

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    This paper discusses whether the integration of international financial markets affects business cycle fluctuations. In the framework of a new open economy macro-model, we show that the link between financial openness and business cycle volatility depends on the nature of the underlying shock. Empirical evidence supports this conclusion. Our results also show that the link between business cycle volatility and financial openness has not been stable over time.

     
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
    Format: Print
    Series: Kiel working paper ; 1121
    Subjects: Konjunktur; Volatilität; Globalisierung; Kapitalmobilität; Internationaler Finanzmarkt; Offene Volkswirtschaft; Makroökonomik; Allgemeines Gleichgewicht; Schätzung; Theorie; OECD-Staaten; Neue Makroökonomik offener Volkswirtschaften
    Scope: 37 S, graph. Darst, a
  7. Geldpolitik und vorausschauende Taylor-Regeln - Theorie und Empirie am Beispiel der Deutschen Bundesbank
    Author: Kamps, Christophe; Pierdzioch, Christian
    Published: 2002
    Publisher:  Inst. of World Economics, Kiel

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    Source: Staatsbibliothek zu Berlin
    Language: German
    Media type: Book
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    RVK Categories: QD 000
    Series: Kiel working paper ; 1089
    Subjects: Taylor-Regel; Geldpolitik; Schätzung; Deutschland; Momentenmethode
    Scope: 15 S, graph. Darst, 21 cm
    Notes:

    Zsfassung in engl. Sprache
  8. Capital mobility, consumption substitutability, and the effectiveness of monetary policy in open economies
    Author: Pierdzioch, Christian
    Published: 2002
    Publisher:  Inst. für Weltwirtschaft, Kiel

    This paper uses a dynamic general equilibrium two-country optimizing model to analyze the consequences of international capital mobility for the effectiveness of monetary policy in open economies. The model shows that the substitutability of goods... more

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    This paper uses a dynamic general equilibrium two-country optimizing model to analyze the consequences of international capital mobility for the effectiveness of monetary policy in open economies. The model shows that the substitutability of goods produced in different countries plays a central role for the impact of international capital mobility on the effectiveness of monetary policy. Paralleling the results of the traditional Mundell-Fleming model, a higher degree of international capital mobility increases the effectiveness of monetary policy only if the Marshall-Lerner condition, which is linked to the cross-country substitutability of goods, holds.

     
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    Source: Staatsbibliothek zu Berlin
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    Media type: Book
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    Series: Kiel working paper ; 1110
    Subjects: Kapitalmobilität; Geldpolitik; Wirkungsanalyse; Substitutionsgüter; Zwei-Länder-Modell; Offene Volkswirtschaft; Dynamisches Gleichgewicht; Theorie; Elastizitätsansatz
    Scope: 24 S, graph. Darst, a
  9. Capital mobility, consumption substitutability, and the effectiveness of monetary policy in open economies
    Author: Pierdzioch, Christian
    Published: May 2002
    Publisher:  Kiel Institute of World Economics, Kiel (Germany)

    This paper uses a dynamic general equilibrium two-country optimizing model to analyze the consequences of international capital mobility for the effectiveness of monetary policy in open economies. The model shows that the substitutability of goods... more

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    This paper uses a dynamic general equilibrium two-country optimizing model to analyze the consequences of international capital mobility for the effectiveness of monetary policy in open economies. The model shows that the substitutability of goods produced in different countries plays a central role for the impact of international capital mobility on the effectiveness of monetary policy. Paralleling the results of the traditional Mundell-Fleming model, a higher degree of international capital mobility increases the effectiveness of monetary policy only if the Marshall-Lerner condition, which is linked to the cross-country substitutability of goods, holds.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/17777
    Series: Kiel working paper ; no. 1110
    Subjects: Kapitalmobilität; Geldpolitik; Wirkungsanalyse; Substitutionsgüter; Zwei-Länder-Modell; Offene Volkswirtschaft; Dynamisches Gleichgewicht; Theorie; Elastizitätsansatz
    Scope: 1 Online-Ressource (circa 27 Seiten), Illustrationen
  10. Business cycle volatility in Germany
    Author: Buch, Claudia M.; Döpke, Jörg; Pierdzioch, Christian
    Published: 2002
    Publisher:  Inst. für Weltwirtschaft, Kiel

    Stylized facts suggest that output volatility in OECD countries has declined in recent years. However, the causes and the nature of this decline have so far been analyzed mainly for the United States. In this paper, we analyze whether structural... more

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    Stylized facts suggest that output volatility in OECD countries has declined in recent years. However, the causes and the nature of this decline have so far been analyzed mainly for the United States. In this paper, we analyze whether structural breaks in the dynamics and the volatility of the real output process in Germany can be detected. We report evidence that output volatility has declined in Germany. Yet, this decline in output volatility is not as clear-cut as it is in the case of the United States. In consequence, it is difficult to answer the question whether the decline in output volatility in Germany reflects good economic and monetary policy or merely `good luck'.

     
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
    Format: Print
    RVK Categories: QD 000 ; QM 000
    Series: Kiel working paper ; 1129
    Subjects: Konjunktur; Volatilität; Schätzung; Deutschland
    Scope: 32 S., graph. Darst., a
  11. Exchange rate expectations redux and monetary policy
    Author: Pierdzioch, Christian
    Published: May 2002
    Publisher:  Kiel Institute of World Economics, Kiel (Germany)

    This paper uses a dynamic general equilibrium optimizing two-country model to analyze how the formation of exchange rate expectations shapes the effects of monetary policy shocks in open economies. The model implies that the short-run output effects... more

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    This paper uses a dynamic general equilibrium optimizing two-country model to analyze how the formation of exchange rate expectations shapes the effects of monetary policy shocks in open economies. The model implies that the short-run output effects of permanent monetary policy shocks diminish if "noise traders" in the foreign exchange market form regressive exchange rate expectations. If the influence of these noise traders is strong enough, a permanent expansionary monetary policy shock can result in a temporary decline of the output in the country in which it takes place. The output effects of temporary monetary policy shocks are magnified when noise traders form regressive exchange rate expectations.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/17776
    Series: Kiel working paper ; no. 1109
    Subjects: Geldpolitik; Schock; Wechselkurstheorie; Erwartungsbildung; Noise Trading; Offene Volkswirtschaft; Dynamisches Gleichgewicht; Theorie; Wirkungsanalyse
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  12. Monetary policy rules and oil price shocks
    Author: Kamps, Christophe; Pierdzioch, Christian
    Published: 2002
    Publisher:  Inst. of World Economics, Kiel

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  13. Financial market integration and business cycle volatility in a monetary union
    Author: Pierdzioch, Christian
    Published: July 2002
    Publisher:  Kiel Institute of World Economics, Kiel (Germany)

    This paper uses a dynamic general equilibrium two-country optimizing sticky-price model to analyze the consequences of international financial market integration for the propagation of asymmetric productivity shocks in a monetary union. The model... more

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    This paper uses a dynamic general equilibrium two-country optimizing sticky-price model to analyze the consequences of international financial market integration for the propagation of asymmetric productivity shocks in a monetary union. The model implies that business cycle volatility is higher the more integrated the capital markets of the member countries of the monetary union are.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    hdl: 10419/17784
    Series: Kiel working paper ; no. 1115
    Subjects: Konjunkturzusammenhang; Schock; Volatilität; Währungsunion; Internationaler Finanzmarkt; Marktintegration; Offene Volkswirtschaft; Makroökonomik; Allgemeines Gleichgewicht; Kapitalmobilität; Theorie; Neue Makroökonomik offener Volkswirtschaften
    Scope: 1 Online-Ressource (circa 27 Seiten), Illustrationen
  14. Monetary policy rules and oil price shocks
    Author: Kamps, Christophe; Pierdzioch, Christian
    Published: January 2002
    Publisher:  Kiel Institute of World Economics, Kiel (Germany)

    This paper studies the relative performance of alternative monetary policy rules in the presence of oil price shocks in a small open economy optimizing model. Our analysis shows that it is important to distinguish between alternative price indices... more

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    This paper studies the relative performance of alternative monetary policy rules in the presence of oil price shocks in a small open economy optimizing model. Our analysis shows that it is important to distinguish between alternative price indices (CPI, core CPI, and GDP deflator) when modeling the effects of oil price increases. This distinction has important implications for monetary policy as the central bank has to decide which inflation rate to target. Our results demonstrate that targeting the change in the GDP deflator is an inferior monetary policy strategy in the presence of oil price shocks.

     
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    Language: English
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    Format: Online
    Other identifier:
    hdl: 10419/17748
    RVK Categories: QD 000 ; QM 000
    Series: Kiel working paper ; no. 1090
    Subjects: Geldpolitik; Geldpolitisches Ziel; Kleine offene Volkswirtschaft; Dynamische Optimierung; Ölpreis; Inflationssteuerung; Preisindex; Theorie; USA
    Scope: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  15. Consumer preferences and the reliability of Euler equation tests of capital mobility
    some simulation based evidence
    Author: Buch, Claudia M.; Döpke, Jörg; Pierdzioch, Christian
    Published: 2002
    Publisher:  Inst. for World Economics, Kiel

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  16. Financial openness and business cycle volatility
    Author: Buch, Claudia M.; Döpke, Jörg; Pierdzioch, Christian
    Published: 2002
    Publisher:  Kiel Institute of World Economics, Kiel (Germany)

    This paper discusses whether the integration of international financial markets affects business cycle fluctuations. In the framework of a new open economy macro-model, we show that the link between financial openness and business cycle volatility... more

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    This paper discusses whether the integration of international financial markets affects business cycle fluctuations. In the framework of a new open economy macro-model, we show that the link between financial openness and business cycle volatility depends on the nature of the underlying shock. Empirical evidence supports this conclusion. Our results also show that the link between business cycle volatility and financial openness has not been stable over time.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
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    Other identifier:
    hdl: 10419/17783
    Series: Kiel working paper ; no. 1121
    Subjects: Konjunktur; Volatilität; Globalisierung; Kapitalmobilität; Internationaler Finanzmarkt; Offene Volkswirtschaft; Makroökonomik; Allgemeines Gleichgewicht; Schätzung; Theorie; OECD-Staaten; Neue Makroökonomik offener Volkswirtschaften
    Scope: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  17. Consumer preferences and the reliability of Euler equation tests of capital mobility
    some simulation-based evidence
    Author: Buch, Claudia M.; Döpke, Jörg; Pierdzioch, Christian
    Published: October 2002
    Publisher:  Kiel Institute of World Economics, Kiel (Germany)

    The globalization of international financial markets has renewed interest in the measurement of capital mobility. Consumption-based tests such as the Euler equation test are commonly used. These tests, however, are derived under restrictive... more

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    The globalization of international financial markets has renewed interest in the measurement of capital mobility. Consumption-based tests such as the Euler equation test are commonly used. These tests, however, are derived under restrictive assumptions on consumer behavior. In this paper, we ask how the Euler equation test of capital mobility performs if these restrictive assumptions are relaxed. We simulate a dynamic general equilibrium two-country model under alternative assumptions regarding consumer preferences and use the simulated time series to test for the degree of capital mobility. We find that the Euler equation test discriminates fairly well between high and low capital mobility regimes even if the restrictive assumptions on consumer behavior used to derive the test are not satisfied.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/17814
    RVK Categories: QD 000 ; QM 000
    Series: Kiel working paper ; no. 1131
    Subjects: Kapitalmobilität; Intertemporale Entscheidung; Zeitreihenanalyse; Simulation; Schätzung; Theorie; Welt; Variationsrechnung; Neue Makroökonomik offener Volkswirtschaften
    Scope: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  18. Business cycle volatility in Germany
    Author: Buch, Claudia M.; Döpke, Jörg; Pierdzioch, Christian
    Published: 2002
    Publisher:  Inst. for World Economics, Kiel

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    Language: English
    Media type: Book
    Format: Print
    RVK Categories: QD 000 ; QM 000 ; QD 000 ; QM 000
    DDC Categories: 330; 380; 650; 670
    Series: Kiel working papers ; No. 1129
    Subjects: Konjunktur; Volatilität; Schätzung
    Other subjects: (stw)Konjunktur; (stw)Volatilität; (stw)Schätzung; (stw)Deutschland; jel:G15; jel:E32; jel:F47; jel:F41; jel:F36; Business Cycle; Volatility; Germany; Konjunktur (STW); Volatilität (STW); Schätzung (STW); Deutschland (STW); Online-Publikation; Arbeitspapier; Arbeitspapier; Graue Literatur
    Scope: 32 S., graph. Darst., 21 cm
  19. Business Cycle Volatility in Germany
    Author: Buch, Claudia M.; Döpke, Jörg; Pierdzioch, Christian
    Published: 2002
    Publisher:  Kiel Institute for the World Economy (IfW), Kiel

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    Language: English
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    Format: Online
    Other identifier:
    hdl: 10419/17797
    RVK Categories: QD 000 ; QM 000 ; QD 000 ; QM 000
    DDC Categories: 330; 380; 650; 670
    Series: Kiel Working Paper ; 1129
    Subjects: Konjunktur; Volatilität; Schätzung
    Other subjects: (stw)Konjunktur; (stw)Volatilität; (stw)Schätzung; (stw)Deutschland; jel:G15; jel:E32; jel:F47; jel:F41; jel:F36; Business Cycle; Volatility; Germany; Konjunktur (STW); Volatilität (STW); Schätzung (STW); Deutschland (STW); Online-Publikation; Arbeitspapier; Arbeitspapier; Graue Literatur
    Scope: Online-Ressource
  20. Geldpolitik und vorausschauende Taylor-Regeln
    Theorie und Empirie am Beispiel der Deutschen Bundesbank
    Author: Kamps, Christophe; Pierdzioch, Christian
    Published: Januar 2002
    Publisher:  Institut für Weltwirtschaft, Kiel

    In diesem Beitrag wird aufgezeigt, dass sich die Geldpolitik der Deutschen Bundesbank im Zeitraum 1991 bis 1998 gut mit Hilfe einer so genannten vorausschauenden Taylor-Regel beschreiben lässt. Die Deutsche Bundesbank stabilisierte in den 90er Jahren... more

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    In diesem Beitrag wird aufgezeigt, dass sich die Geldpolitik der Deutschen Bundesbank im Zeitraum 1991 bis 1998 gut mit Hilfe einer so genannten vorausschauenden Taylor-Regel beschreiben lässt. Die Deutsche Bundesbank stabilisierte in den 90er Jahren sowohl die Inflation als auch die Konjunktur. Die Geldmenge beeinflusste das Verhalten der Zentralbank über ihre Eigenschaft als Frühindikator für die zukünftige Inflation. This paper uses the empirical framework for estimating forward looking monetary policy rules developed in Clarida, Galí and Gertler (1998, 2000) to study monetary policy in Germany in the period 1991 to 1998. The estimation results show that the Bundesbank stabilized both inflation and the output gap in the 1990s. The money aggregate M3 influenced the behavior of the German central bank through its property as a leading indicator for future inflation.

     
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    Language: German
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/17747
    RVK Categories: QD 000
    Series: Kieler Arbeitspapier ; Nr. 1089
    Subjects: Taylor-Regel; Geldpolitik; Schätzung; Deutschland; Momentenmethode
    Scope: 1 Online-Ressource (circa 19 Seiten), Illustrationen