The link between German short- and long-term interest rates: Some evidence against a term structure oriented monetary policy

Jahrbucher fur Nationalokonomie und Statistik

Volumn 217, Issue 2, 1998, Pages 214-226

  Hassler, Uwe ^a   Nautz, Dieter ^a  

^a FREIE UNIVERSITÄT BERLIN   (Germany)

Author keywords

Intermediate targets of monetary policy; Stability of cointegration relations; Term structure of interest rates

Indexed keywords

EID: 0001020872     PISSN: 00214027     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (34)

1. Banerjee, A., Dolado, J., Hendry, D. F., Smith, G. W. (1986), Exploring Equilibrium in Econometrics through Static Models: Some Monte Carlo Evidence. Oxford Bulletin of Economics and Statistics 48, 253-277.
2. Banerjee, A., Dolado, J., Galbraith, J. W., Hendry, D. F. (1993), Cointegration, Error Correction, and the Econometric Analysis of Non-Stationary Data. Oxford University Press.
3. Banerjee, A., Dolado, J., Mestre, R. (1994), On the Power of Cointegration Tests: Dimension Invariance vs. Common Factors. Mimeo.
4. Campbell, J. Y., Shiller, R. J. (1987), Cointegration and Tests of Present Value Models. Journal of Political Economy 95, 1062-1088.
5. Campbell, J. Y., Shiller, R. J. (1991), Yield Spreads and Interest Rate Movements: A Bird's Eye View. Review of Economic Studies 58, 495-514.
6. Dickey, D. A., Fuller, W. A. (1979), Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association 74, 427-431.
7. Engle, R. F., Granger, C. W. J. (1987), Cointegration and Error Correction: Representation, Estimation and Testing. Econometrica 55, 251-276.
8. Estrella, A., Hardouvelis G. (1991), The Term Structure as a Predictor of Real Economic Activity. Journal of Finance 46, 555-576.
9. Fama, E. F. (1990), Term structure Forecasts of Interest Rates, Inflation and Real Returns. Journal of Monetary Economics 25, 59-76.
10. Gebauer, W. (1989), Zinsstrukturtheorie and Zentralbankpolitik. In: Bub, N., Duwendag, D. and R. Richter (eds.): Geldwertsicherung und Wirtschaftsstabilität, Frankfurt, 71-86.
11. Gebauer, W., Schmidt, K., Veestraeten, D. (1994a), Kapitalmarktindikatoren und Investitionen in Sachkapital. Eine empirische Analyse. Discussion paper, Nr. 37.
12. Gebauer, W., Müller, K., Schmidt, K., Thiel, M., Worms, A. (1994b), Determinants of Long-Term Interest Rates in Selected Countries: Towards a European Central Bank Policy Design. In: Johnson, C. and S. Collignon (eds.): The Monetary Economics of Europe - Causes of the EMS Crisis, London, 189-226.
13. Granger, C. W. J., Newbold, P. (1974), Spurious Regression in Econometrics. Journal of Econometrics 2, 111-120.
14. Hall, A. D., Anderson, H. M., Granger, C. W. J. (1992), A Cointegration Analysis of Treasury Bill Yields. Review of Economics and Statistics 74, 116-126.
15. Hansen, B. E. (1992), Tests for Parameter Instability in Regressions with I(1) Processes. Journal of Business & Economic Statistics 10, 321-335.
16. Hardouvelis, G. (1988), The Predictive Power of the Term Structure during Recent Monetary Regimes. Journal of Finance 43, 339-356.
17. Harvey, C. R. (1991), Interest Rate Based Forecasts of German Economic Growth. Weltwirtschaftliches Archiv 127, 701-718.
18. Hassler, U. (1994), Einheitswurzeltests - Ein Überblick. Allgemeines Statistisches Archiv 78, 207-228.
19. Hesse, H., Roth, G. (1992), Die Zinsstruktur als Indikator der Geldpolitik? Kredit und Kapital 1, 1-25.
20. Kirchgässner, G., Savioz, M. (1995), Is the Interest Rate Spread a Valid Predictor for Real and Nominal Economic Development? An Empirical Investigation for the Federal Republic of Germany. Discussion paper no. 9510, Department of Economics, University of St. Gallen.
21. Koedijk, K., Kool, C. (1995), Future Inflation and the Information in International Term Structures. Empirical Economics 20, 217-242.
22. Krämer, J. W., Langfeld, E. (1993), Die Zinsdifferenz als Frühindikator für die westdeutsche Konjunktur. Die Weltwirtschaft, March: 34-42.
23. Lütkepohl, H., Moryson, M., Wolters, J. (1995), Stabilitätsanalyse der bundesdeutschen Geldnachfrage anhand alternativer Ansätze zur Modellierung variierender Regressionskoeffizienten. Kredit und Kapital 1, 107-133.
24. MacKinnon, J. G. (1991), Critical Values for Cointegration Tests. In: R. F. Engle and C. W. J. Granger (eds.): Long-Run Economic Relationships, Oxford University Press, 267-276.
25. Phillips, P. C. B. (1986), Understanding Spurious Regression in Econometrics. Journal of Econometrics 33, 311-340.
26. Quintos, C. E., Phillips, P. C. B. (1993), Parameter Constancy in Cointegrating Regressions. Empirical Economics 18, 675-706.
27. Ragnitz, J. (1994), Zinsstruktur und Wirtschaftswachstum. Kredit und Kapital 27, 11-29.
28. Reimers, H. E., Lütkepohl, H. (1989), The Term Structure of Interest Rates in the U.S. and West Germany, Causality Analysis in Cointegrated Systems. Discussion paper Nr. 50/1989, Universität Kiel.
29. Schmidt, K. (1993), Die Zinsstruktur als Prognoseinstrument für die wirtschaftliche Entwicklung. Zeitschrift für betriebswirtschaftliche Forschung, Sonderheft 31, 257-285.
30. Shiller, R. J. (1990), The Term Structure of Interest Rates. In B. Friedman and F. Hahn (eds.): Handbook of Monetary Economics, Elsevier Science, Chap. 13.
31. Stock, J. H. (1994), Unit Roots, Structural Breaks and Trends. In R. F. Engle and D. L. McFadden (eds.): Handbook of Econometrics IV, Elsevier Science, Chap. 46.
32. Wolters, J. (1995a), On the Term Structure of Interest Rates: Empirical Results for Germany. Statistical Papers 36, 193-214.
33. Wolters, J. (1995b), Kointegration und Zinsentwicklung im EWS: Eine Einführung in die Kointegrationsmethodologie und deren Anwendung. Allgemeines Statistisches Archiv 79, 146-169.
34. Zhang, H. (1993), Treasury Yield Curves and Cointegration. Applied Economics 25, 361-367.