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Probleme der Modellierung der Zinsstruktur in makroökonometrischen Modellen

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  2. Economics, Finance, Business & Management
  3. Credit and Capital Markets – Kredit und Kapital
  4. Vol. 13, Issue 2
  5. pp. 178–214

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König, H., Gaab, W., Wolters, J. Probleme der Modellierung der Zinsstruktur in makroökonometrischen Modellen. Credit and Capital Markets – Kredit und Kapital, 13(2), 178-214. https://doi.org/10.3790/ccm.13.2.178
König, Heinz; Gaab, W. and Wolters, J. "Probleme der Modellierung der Zinsstruktur in makroökonometrischen Modellen" Credit and Capital Markets – Kredit und Kapital 13.2, 1980, 178-214. https://doi.org/10.3790/ccm.13.2.178
König, Heinz/Gaab, W./Wolters, J. (1980): Probleme der Modellierung der Zinsstruktur in makroökonometrischen Modellen, in: Credit and Capital Markets – Kredit und Kapital, vol. 13, iss. 2, 178-214, [online] https://doi.org/10.3790/ccm.13.2.178
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Probleme der Modellierung der Zinsstruktur in makroökonometrischen Modellen

König, Heinz | Gaab, W. | Wolters, J.

Credit and Capital Markets – Kredit und Kapital, Vol. 13 (1980), Iss. 2 : pp. 178–214

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Article Details

Publisher Name
Duncker & Humblot
DOI
https://doi.org/10.3790/ccm.13.2.178
Language
Multiple languages
Pages
37

König, Heinz

Gaab, W.

Wolters, J.

References

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Abstract

Problems of Modelling Interest Rate Structures in Macroeconometrice Models

In econometric models, the modelling of the interest rate structure is of special significance for the modus operandi of monetary policy measures. For such modelling we have, in principle, the three following approaches: (i) the market equilibrium hypothesis: short- and long-term interest rates are determined via specification of the supply and demand sides of the relevant financial market; (ii) the expectation hypothesis of the interest rate structure: The long-term interest rate is a weighted average of the effective short-term interest rates in the past, and (iii) the hypothesis of efficent markets: The best predictor for the long-term interest rate is either the effective rate in the preceding period or the short-term interest rate prevailing at the besinning of the period plus a liquidity premium. Since the examination of the individual hypotheses without allowing for simultaneous relationships has disadvantages, each hypothesis for the interest rate structure is taken into account explicitly in a model for the financial sector of the Federal Republic of Germany. The object of the study is to single out, taking all structural relationships of the model into account, that hypothesis relating to the longterm interest rate which is most compatible with the observed dynamic relationships. The effects of the various hypotheses on the dynamic structure of the model are assessed on the bassis of the characteristic values of the deterministic system and with the help of spectral analysis. The methodological provedure is described in the appendix. It proves - with some reservations - that the expectation hypothesis corresponds mostly closely to the observed relationships.

Table of Contents

Section Title Page Action Price
H. König/W. Gaab/J. Wolters: Probleme der Modellierung der Zinsstruktur\rin makroökonometrischen Modellen 178
I. 178
II. 180
III. 185
IV. 195
Anhang I 196
Variablenliste 201
Anhang II 203
Literatur 211
Zusammmenfassung: Probleme der Modellierung der Zinsstruktur in makroökonometrischen Modellen 212
Summary: Problems of Modelling Interest Rate Structures in Macroeconometric Models 213
Résumé: Problèmes de la modélisation de la structure des taux d'intérêt dans les modèles macroéconomiques 213

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