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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

The book considers issues relevant to the European Central Bank in refining and communicating its strategy. It offers a historical assessment of the Bundesbank's strategy of monetary targeting conducted from 1974 to 1998. In contrast to several other prominent studies it is argued that money pl...

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Bibliographic Details
Main Author: Brand, Claus
Format: eBook
Language:English
Published: Heidelberg Physica 2001, 2001
Edition:1st ed. 2001
Series:Contributions to Economics
Subjects:
Finance
Macroeconomics And Monetary Economics
Financial Economics
Macroeconomics
Online Access:
Collection: Springer Book Archives -2004 - Collection details see MPG.ReNa
Table of Contents:
  • 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
  • 2.2 Operating procedures and money supply
  • 2.3 A note on the identifiability of money demand
  • 2.4 A note on the identifiability of autonomous monetary policy actions
  • 2.5 Evidence from recent empirical analyses of German monetary policy
  • 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
  • 4.2 The linear state space model
  • 4.3 Specific properties of the linear model
  • 4.4 Signal extraction using the Kalman filter
  • 4.5 Structural analysis
  • 4.6 Model selection and estimation
  • 4.7 Modelling nonstationary time series and common stochastic trends
  • 5. Empirical implementation and results
  • 5.1 Is a multiplier approach adequate to model German money supply?
  • 5.2 Monetary targeting and the business cycle
  • 5.3 A quantity theory based approach to inflation targeting
  • 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—errorvariance decompositions
  • A.6 Aoki C-Test for model specification

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