REPURCHASE AGREEMENTS - AN EMPIRICAL-ANALYSIS OF THE IMPACT ON MARKET INTEREST-RATES

Autor(en): JAENICKE, J
Stichwörter: Business & Economics; Economics; GRANGER CAUSALITY; INCOME; Mathematical Methods In Social Sciences; MODEL; MONEY; SELECTION; Social Sciences, Mathematical Methods; TESTS; TIME-SERIES
Erscheinungsdatum: 1995
Herausgeber: GUSTAV FISCHER VERLAG
Journal: JAHRBUCHER FUR NATIONALOKONOMIE UND STATISTIK
Volumen: 214
Ausgabe: 2
Startseite: 209
Seitenende: 225
Zusammenfassung: 
This paper examines the influence of monetary policy on market interest rates by testing for Granger-causality between the rates for interest rate tender and the interbank call money rates and the bond-market rates respectively. The direkt Granger test and a modified Hsiao test are used and a possible structural brake is taken into account. The results did not support the hypothesis that the Bundesbank influences the market interest rates with the rates for repurchase agreements but indicate that the interbank call money rates have a strong impact on the interest rate fixing of the Bundesbank.
ISSN: 00214027

Show full item record

Google ScholarTM

Check