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Geldmarktsteuerung und Zinsstruktur: Ergebnisse für Deutschland und die USA

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Anker, P., Wasmund, J. Geldmarktsteuerung und Zinsstruktur: Ergebnisse für Deutschland und die USA. Credit and Capital Markets – Kredit und Kapital, 31(4), 544-566. https://doi.org/10.3790/ccm.31.4.544
Anker, Peter and Wasmund, Jörn "Geldmarktsteuerung und Zinsstruktur: Ergebnisse für Deutschland und die USA" Credit and Capital Markets – Kredit und Kapital 31.4, 1998, 544-566. https://doi.org/10.3790/ccm.31.4.544
Anker, Peter/Wasmund, Jörn (1998): Geldmarktsteuerung und Zinsstruktur: Ergebnisse für Deutschland und die USA, in: Credit and Capital Markets – Kredit und Kapital, vol. 31, iss. 4, 544-566, [online] https://doi.org/10.3790/ccm.31.4.544

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Geldmarktsteuerung und Zinsstruktur: Ergebnisse für Deutschland und die USA

Anker, Peter | Wasmund, Jörn

Credit and Capital Markets – Kredit und Kapital, Vol. 31 (1998), Iss. 4 : pp. 544–566

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Peter Anker, Gießen

Jörn Wasmund, Gießen

References

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Abstract

Monetary Policy and the Term Structure of Interest Rates: Results obtained for Germany and the USA

The present paper addresses the impact of alternative central bank operating procedures in Germany and the US on the informational content of the term structure of interest rates at the short end of the maturity spectrum and discusses the implications for uncertainty in the financial sector. The empirical analysis uses daily money market interest rates in the period between 1975 and 1997 and takes explicitly account of changes in operating procedures of the Deutsche Bundesbank.

In spite of some differences, the strategies applied by the Fed and the Deutsche Bundesbank since 1985 have resulted in rather similar conclusions regarding uncertainty about the future course of daily interest rates within the four subsequent weeks. The informational content of the six-month interest rate in Germany, however, is clearly different from that of the US. In the light of theoretical approaches recently discussed in the literature, this result can be attributed to differences in the implementation of interest rate smoothing objectives by the Fed and the Deutsche Bundesbank.