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Preislücke, Kointegration und Kausalität — Eine zeitreihenanalytische Untersuchung der Geldmengenentwicklung in Deutschland seit 1973

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Alecke, B. Preislücke, Kointegration und Kausalität — Eine zeitreihenanalytische Untersuchung der Geldmengenentwicklung in Deutschland seit 1973. Credit and Capital Markets – Kredit und Kapital, 34(1), 76-105. https://doi.org/10.3790/ccm.34.1.76
Alecke, Björn "Preislücke, Kointegration und Kausalität — Eine zeitreihenanalytische Untersuchung der Geldmengenentwicklung in Deutschland seit 1973" Credit and Capital Markets – Kredit und Kapital 34.1, 2001, 76-105. https://doi.org/10.3790/ccm.34.1.76
Alecke, Björn (2001): Preislücke, Kointegration und Kausalität — Eine zeitreihenanalytische Untersuchung der Geldmengenentwicklung in Deutschland seit 1973, in: Credit and Capital Markets – Kredit und Kapital, vol. 34, iss. 1, 76-105, [online] https://doi.org/10.3790/ccm.34.1.76

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Preislücke, Kointegration und Kausalität — Eine zeitreihenanalytische Untersuchung der Geldmengenentwicklung in Deutschland seit 1973

Alecke, Björn

Credit and Capital Markets – Kredit und Kapital, Vol. 34 (2001), Iss. 1 : pp. 76–105

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Björn Alecke, Münster

References

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Abstract

Price Gap, Cointegration and Causality - a Time Series-Based Analysis of the Monetary Stock in Germany after 1973

This contribution comprises a cointegration analysis of money, prices, income, and interest rates and analyses the causality structure of the variables. The cointegration analysis shows a long-term equilibrium relationship between money, prices, income, and interest rates with theoretically plausible coefficient values. The causality analysis demonstrates that money influences prices, income, and interest rates in the short-term, though not in the long-term. The dynamic analysis made with the help of generalised impulse response functions, variance decompositions and the persistence profile recently proposed by Pesaran and Shin (1996, 1998a) for analysing cointegrated VAR models confirms that money does not influence prices, income, and interest rates in the long-term. Deviations from money market equilibrium are quickly corrected.