In a small structural model we find asymmetries in the effects of monetary policy in Germany depending on whether the economy is in an upswing or a downswing. These two different regimes are also identified using a Markov-switching model and the Kalman filter. Our results indicate that the effects of monetary policy are significantly higher in a downswing than in an upswing. It follows not only that ...
In this paper, the empirical relevance of the credit channel for the explanation of monetary policy transmission in Germany during the period from 1985 to 1998 is analyzed. While existing studies of the credit channel rely mostly on the analysis of monetary policy effects on balance sheet items, both quantities and financing costs are considered here. Using vector autoregressive models, impulse response ...
We analyse the effectiveness of fiscal policy rules for business cycle stabilisation in a monetary union using a quarterly macro-econometric model of Germany. The simulations compare a deficit target and an expenditure target under a range of supply, demand and fiscal shocks. Their effects are evaluated by their impact on prices and output. The analysis demonstrates that in general the deficit target ...
Despite the fact that Argentina has been suffering from recession for years the timing and severity of the recent currency crisis has surprised most observers. This paper analyzes whether the "early warning" or "signals" approach of Kaminsky (1998), Kaminsky/Lizondo/Reinhart (1998) and Kaminsky/Reinhart (1999) could have predicted the Argentinean currency crisis at an earlier point in time. Using a ...
The paper applies an equilibrium correction model to discuss impacts of monetary, labour and external factors on the German inflation. The approach presented is of eclectic character and allows for examination which variables representative for various inflation theories matter empirically when analysing inflation processes in Germany. The results obtained suggest that inflation in Germany is determined ...
Despite the fact that Argentina has been suffering from a recession for years, the timing and severity of the recent currency crisis surprised most observers. This paper analyzes the role of fundamentals and self-fulfilling speculation in the Argentinean crisis. Arguing within a theoretical model of a fixed exchange rate system that allows for multiple equilibria, we show that the crisis, while being ...
This paper analyses the Nairu in the Euro Area and the influence that monetary policy had on its development. Using the Kalman-filter technique we find that the Nairu has varied considerably since the early seventies. The Kalman-filter technique is applied here for the first time using explicit exogenous variables. In particular real interest rates were found to explain a quarter of the increase in ...