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On the Long-run Relationship Between Money, Output and Interest Rates: A Cointegration Analysis for West Germany

Published online by Cambridge University Press:  17 August 2016

Werner Gaab  and
Olaf Liedtke
Werner Gaab
Affiliation:
Universität Essen
Olaf Liedtke
Affiliation:
Universität Essen & Georgetown University, Washington D.C.
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Abstract

L'existence d'une relation d'équilibre de long-terme entre le stock réel de monnaie, la production en volume et le taux de intérêt, joue un rôle important dans la théorie économique et la politique monétaire. Le principal objectif de cet article est de détecter l'existence une telle relation de long terme en Allemagne, au vu des changements de régiment dans la politique monétaire dans le milieu des années 1970. A cette fin, nous utilisons un test de co-intégration mis au point par Johansen (1988). La preuve empirique est très fragile et dépend fortement de la période considérée.

The existence of a long-run equilibrium relationship between real money balances, real output and an interest rate plays an important role in economic theory and monetary policy. The main purpose of this paper is to look for such a long-run relationship in Germany in face of a changing monetary policy regime in mid-1970s. We use a test for cointegration developed by Johansen (1988). The empirical evidence is very fragile depending heavily on the time period analyzed.

Keywords

211311211311
Type
Part IV: Time Series Analysis of Output and Employment
Information
Recherches Économiques de Louvain/ Louvain Economic Review , Volume 58 , Issue 3-4: Output and Employment Fluctuations , 1992 , pp. 454 - 471
Copyright
Copyright © Université catholique de Louvain, Institut de recherches économiques et sociales 1992 

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Footnotes

(*)

We are grateful for helpful comments of three anonymous referees.

References

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