Uncovered Interest Rate Parity and Monetary Convergence of Potential EMU Accession Countries
Oliver Holtemöller
International Economics and Economic Policy,
No. 1,
2005
Abstract
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Nonlinear adjustment in the term structure of German interest rates
Christian Dreger
Applied Economics Quarterly,
2004
Abstract
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A macroeconometric model for the Euro economy
Christian Dreger
IWH Discussion Papers,
No. 181,
2003
Abstract
In this paper a structural macroeconometric model for the Eurozone is presented. In opposite to the multi country modelling approach, the model relies on aggregate data on the supra-national level. Due to nonstationarity, all equations are estimated in an error correction form. The cointegrating relations are derived jointly with the short-run dynamics, avoiding the finite sample bias of the two step Engle Granger procedure. The validity of the aggregated approach is confirmed by out-of-sample forecasts and two simulation exercises. In particular the implications of a lower economic recovery in the US and a shock in the nominal Euro area interest rate are discussed.
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Are Real Interest Rates Cointegrated? Further Evidence Based on Paneleconometric Methods
Christian Dreger, Christian Schumacher
Schweizerische Zeitschrift für Volkswirtschaft und Statistik 139,
2003
Abstract
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Explaining Investment Trends in European Union Countries
Klaus Weyerstraß
IWH Discussion Papers,
No. 174,
2003
Abstract
In the 1980s and, in particular, in the 1990s the countries of the European Union experienced divergent developments of gross fixed capital formation. Estimating an investment function for a panel of ten countries and analyzing the paths of the determinants of investment in the countries under consideration reveals that the different development of final demand is the main factor responsible for the divergences in investment. Other factors are disparities in the decline of real interest rates and of relative prices for capital goods.
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Bank Concentration and Retail Interest Rates
S. Corvoisier, Reint E. Gropp
Journal of Banking and Finance,
No. 11,
2002
Abstract
The recent wave of mergers in the euro area raises the question whether the increase in concentration has offset the increase in competition in European banking through deregulation. We test this question by estimating a simple Cournot model of bank pricing. We construct country and product specific measures of bank concentration and find that for loans and demand deposits increasing concentration may have resulted in less competitive pricing by banks, whereas for savings and time deposits, the model is rejected, suggesting increases in contestability and/or efficiency in these markets. Finally, the paper discusses some implications for tests of the effect of concentration on monetary policy transmission.
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Is there a real world interest rate?
Christian Dreger, Christian Schumacher
Wirtschaft im Wandel,
No. 12,
2000
Abstract
Infolge der wachsenden Integration der internationalen Güter- und Kapitalmärkte ist eine Angleichung der Realzinssätze unterschiedlicher Länder zu erwarten. Im Beitrag wird diese Hypothese für die Länder der G7 untersucht und mit panelökonometrischen Verfahren bestätigt.
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Relationship Lending within a Bank-Based System: Evidence from European Small Business Data
Hans Degryse, Patrick Van Cayseele
Journal of Financial Intermediation,
No. 1,
2000
Abstract
We investigate relationship lending using detailed contract information from nearly 18,000 bank loans to small Belgian firms operating within the continental European bank-based system. Specifically, we investigate the impact of different measures of relationship strength on price and nonprice terms of the loan contract. We test for the possibility of rent shifting by banks. The evidence shows two opposing effects. On the one hand, the loan rate increases with the duration of a bank–firm relationship. On the other hand, the scope of a relationship, defined as the purchase of other information-sensitive products from a bank, decreases the loan's interest rate substantially. Relationship duration and scope thus have opposite effects on loan rates, with the latter being more important. We also find that the collateral requirement is decreasing in the duration of the relationship and increasing in its scope.
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Business cycle ties in Western Europe
Michael Seifert
Wirtschaft im Wandel,
No. 14,
1997
Abstract
Mit der für 1999 vorgesehenen dritten Stufe auf dem Weg zur Europäischen Währungsunion wird
die Geldpolitik aus der nationalen Zuständigkeit herausgelöst und auf die gemeinsame Europäische Zentralbank übertragen. Mit den dann für alle an der Währungsunion teilnehmenden Länder identischen monetären Rahmenbedingungen (z.B. einheitlicher
Diskontsatz) verknüpft sich die Erwartung, daß sich die konjunkturellen Verläufe annähern
und eine zunehmend gleichgerichtete Entwicklung zeigen werden. Am Beispiel der vier
größten westeuropäischen Volkswirtschaften zeigt sich rückblickend, daß eine solche Annäherung
erst beobachtet werden kann, nachdem die Länder innerhalb des Europäischen Währungssystems in ihrer Geldpolitik zu einem stabilitätsorientierten Kurs übergegangen waren. Zu Beginn der 90er Jahre wurde dieser Prozeß durch die infolge der deutschen Vereinigung wieder unterschiedlichen wirtschaftspolitischen Prioritäten unterbrochen. Diese Erfahrungen deuten darauf hin, daß eine nicht abgestimmte Wirtschaftspolitik – vor allem beim Auftreten symmetrischer Schocks – die Stabilität der Europäischen Wirtschafts- und Währungsunion
gefährden kann, wenn divergierende nationale wirtschaftspolitische Zielvorstellungen
die auf Stabilität verpflichtete europäische Geldpolitik konterkarieren.
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Interest rate structures; A monetary policy instrument?
Christian Dreger
IWH Discussion Papers,
No. 57,
1997
Abstract
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