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534 results, from 341
  • DIW Economic Bulletin 27 / 2015

    A Critical Retrospective: German Monetary Union

    Twenty-five years ago, East Germany adopted the deutschmark as its currency. In terms of East German economic development, monetary union proved to be a disaster. With virtually no warning, East Germany’s few productive factories and businesses were exposed to free market competition; industrial production collapsed in a way unparalleled in history. Nevertheless, for political reasons, introducing ...

    2015| Karl Brenke
  • Diskussionspapiere 1255 / 2012

    Persistence and Cycles in the US Federal Funds Rate

    This paper uses long-range dependence techniques to analyse two important features of the US Federal Funds effective rate, namely its persistence and cyclical behaviour. It examines annual, monthly, bi-weekly and weekly data, from 1954 until 2010. Two models are considered. One is based on an I(d) specification with AR(2) disturbances and the other on two fractional differencing structures, one at ...

    2012| Guglielmo Maria Caporale, Luis A. Gil-Alana
  • DIW Economic Bulletin 44 / 2015

    The Ruble between the Hammer and the Anvil: The Impact of Oil Prices and Economic Sanctions

    The Russian economy is tightly woven into the global economy, and is therefore highly dependent on the development of exchange rates. Since 2014, the ruble has fallen by more than 50 percent against the US dollar. The de¬valuation goes hand in hand with the Western sanctions that were imposed due to the political tensions between Russia and Ukraine. At the same time, the decline in oil prices may also ...

    2015| Christian Dreger, Konstantin Kholodilin
  • DIW Economic Bulletin 44 / 2015

    The Price of Oil Is Having a Stronger Impact on the Ruble's Exchange Rate Than Are the Sanctions: Seven Questions to Konstantin Kholodilin

    2015
  • Refereed essays Web of Science

    Financial Conditions, Macroeconomic Factors and Disaggregated Bond Excess Returns

    Bond excess returns can be predicted by macro factors, however, large parts remain still unexplained. We apply a novel term structure model to decompose bond excess returns into expected excess returns (risk premia) and the innovation part. In order to explore these risk premia and innovations, we complement macro variables by financial condition variables as possible determinants of bond excess returns. ...

    In: Journal of Banking & Finance 58 (2015), S. 80-94 | Christoph Fricke, Lukas Menkhoff
  • Refereed essays Web of Science

    Basil J. Moore's Horizontalists and Verticalists: An Appraisal 25 Years Later

    In 1988 Basil Moore published his book Horizontalists and Verticalists: The Macroeconomics of Credit Money, which this year celebrates its 25th birthday. We discuss this book from today's perspective, and in particular whether Moore's main assertions have been validated or rejected by the development of central bank practice and academic monetary economics. We find that the book has impressively stood ...

    In: Review of Keynesian Economics 1 (2013), 4, S. 383-390 | Ulrich Bindseil, Philipp König
  • Diskussionspapiere 1382 / 2014

    Unconventional Monetary Policy and Money Demand

    This paper investigates the usefulness of the money demand relationship in times of unconventional monetary policies by cointegration methods. In contrast to the bulk of the literature, evidence in favour of a stable long run money demand function is presented both for the US and the euro area. Results are based on standard monetary aggregates, i.e. MZM for the US and M3 in case of the euro area. The ...

    2014| Christian Dreger, Jürgen Wolters
  • Diskussionspapiere 1225 / 2012

    The Credibility of Monetary Policy Announcements: Empirical Evidence for OECD Countries since the 1960s

    Monetary policy rules have been considered as fundamental protection against inflation. However, empirical evidence for a correlation between rules and inflation is relatively weak. In this paper, we first discuss likely causes for this weak link and present the argument that monetary commitment is not credible in itself. It can grant price stability best if it is backed by an adequate assignment of ...

    2012| Ansgar Belke, Andreas Freytag, Jonas Keil, Friedrich Schneider
  • Refereed essays Web of Science

    Sovereign Bond Yield Spreads: A Time-Varying Coefficient Approach

    We study the determinants of sovereign bond yield spreads across 10 EMU countries between Q1/1999 and Q1/2010. We apply a semiparametric time-varying coefficient model to identify, to what extent an observed change in the yield spread is due to a shift in macroeconomic fundamentals or due to altering risk pricing. We find that at the beginning of EMU, the government debt level and the general investors' ...

    In: Journal of International Money and Finance 31 (2012), 3, S. 639-656 | Burcu Erdogan, Kerstin Bernoth
  • Diskussionspapiere 1131 / 2011

    Money and Inflation in the Euro Area during the Financial Crisis

    This paper explores the stability of the relation between money demand for M3 and inflation in the euro area by including the recent period of the financial crisis. Evidence is based on a cointegration analysis, where inflation and asset prices are allowed to enter the long run relationship. By restricting the cointegrating space, equations for money and inflation are identified. The results indicate ...

    2011| Christian Dreger, Jürgen Wolters
534 results, from 341
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