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BL
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| Record Number
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716466
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b536149
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| Main Entry
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Claus Brand.
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| Title & Author
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Money stock control and inflation targeting in Germany : : a state space modelling approach to the Bundesbank's operating procedures and intermediate strategy ; with 26 tables\ Claus Brand.
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| Publication Statement
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Heidelberg: Physica-Verl., 2001
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| Series Statement
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Contributions to economics.
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| Page. NO
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VII, 173 Seiten : Diagramme.
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| ISBN
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3790813931
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: 9783790813937
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| Notes
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Literaturverz. S. [151] - 155.
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| Contents
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1. Introduction.- 1.1 Intermediate strategies for monetary policy.- 1.2 The role of the Bundesbank.- 1.3 The methodological framework.- 2. Measuring monetary policy: Operating procedures and intermediate strategies.- 2.1 The conduct of monetary policy in Germany.- 2.1.1 The practice of monetary targeting.- 2.1.2 The development of instruments for monetary control.- 2.2 Operating procedures and money supply.- 2.3 A note on the identifiability of money demand.- 2.3.1 The identification problem.- 2.3.2 Money demand and monetary policy rules.- 2.3.3 Tracing the supply side using bank reserves?.- 2.4 A note on the identifiability of autonomous monetary policy actions.- 2.4.1 Common identification problems in VARs.- 2.4.2 Identifying monetary policy regimes.- 2.4.3 Narrative approaches.- 2.4.4 Unresolved issues.- 2.5 Evidence from recent empirical analyses of German monetary policy.- 2.5.1 Was there no role for monetary aggregates in Germany?.- 2.5.2 Did the Bundesbank pursue a Lombard rate regime?.- 3. Theoretical framework.- 3.1 Basic considerations.- 3.2 Interest rate operating procedure (from 1985 on).- 3.3 An alternative approach: reserves targeting.- 3.4 Discount window borrowing procedure (1975-1984).- 3.5 Concluding remarks.- 4. Analysis of time series using linear state space models.- 4.1 Basic concepts.- 4.1.1 Common approaches to multivariate time series analysis.- 4.1.2 The system theoretic approach.- 4.1.3 Filtering and smoothing.- 4.2 The linear state space model.- 4.3 Specific properties of the linear model.- 4.3.1 Innovation state space representation.- 4.3.2 Linear state space models and time series models.- 4.3.3 Minimality.- 4.4 Signal extraction using the Kalman filter.- 4.4.1 Filtered forecasts.- 4.4.2 Smoothed forecasts.- 4.4.3 The use of the Kalman filter in econometrics.- 4.5 Structural analysis.- 4.5.1 Impulse-responses to orthogonal innovations.- 4.5.2 Impulse-responses to non-orthogonal innovations using a Wold-ordering scheme.- 4.5.3 Impulse-responses to non-orthogonal innovations: Beyond the Wold-ordering scheme.- 4.5.4 The forecast error variance decomposition.- 4.5.5 Distribution of impulse-response functions.- 4.6 Model selection and estimation.- 4.6.1 The model building algorithm.- 4.6.2 Salient features of the algorithm as compared with VARs.- 4.6.3 Model specification tests.- 4.7 Modelling nonstationary time series and common stochastic trends.- 4.7.1 Detrending and common trend representation in econometrics.- 4.7.2 Modelling trend and cycle.- 4.7.3 A useful generalisation for cointegrated time series.- 4.7.4 Properties of the decomposition into permanent and transitory components.- 5. Empirical implementation and results.- 5.1 Is a multiplier approach adequate to model German money supply?.- 5.1.1 Data.- 5.1.2 Results.- 5.2 Monetary targeting and the business cycle.- 5.2.1 Data.- 5.2.2 Results.- 5.3 A quantity theory based approach to inflation targeting.- 5.3.1 Money stock control and inflation targeting.- 5.3.2 The P* approach.- 5.3.3 Data and results.- 6. Conclusions.- 6.1 Methodological remarks.- 6.2 Money stock control and the day-to-day conduct of monetary policy.- 6.3 Money stock control and inflation targeting in Germany.- 6.4 Prospects for the ECB's monetary policy strategy.- List of figures.- List of tables.- A. GAUSS-programs.- A.1 Estimation of balanced state space model.- A.2 Obtaining in-sample forecasts using the Kalman filter.- A.3 Calculation of impulse-responses.- A.4 Calculation of forecast-error variance decompositions.- A.6 Aoki C-Test for model specification.
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| Subject
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Deutsche Bundesbank ; SWD-ID: 40703411 -- Geldpolitik -- Geldangebot -- Geschichte 1974-1998.
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Deutsche Bundesbank.
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Monetary policy -- Germany -- Econometric models.
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| Added Entry
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Claus Brand
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