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  1. Did the Bundesbank react to stock price movements?
    Author: Bohl, Martin T.; Siklos, Pierre L.; Werner, Thomas
    Published: 2003
    Publisher:  Dt. Bundesbank, Press and Public Relations Div., Frankfurt am Main

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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    ISBN: 9783935821643; 3935821646
    RVK Categories: QB 910 ; QK 900 ; QB 910 ; QK 900
    DDC Categories: 330; 380; 650; 670
    Series: Discussion paper / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank ; 03,14
    Subjects: Geldpolitik; Zins; Zinspolitik; Schätzung; Heteroskedastizität
    Other subjects: (stw)Geldpolitik; (stw)Zins; (stw)Zinspolitik; (stw)Schätzung; (stw)Deutschland; (stw)Heteroskedastizität; Online-Publikation; Arbeitspapier; Buch; Graue Literatur
    Scope: 41 S., graph. Darst., 30 cm
    Notes:

    Literaturverz. S. 25 - 27
  2. Did the Bundesbank react to stock price movements?
    Author: Bohl, Martin T.; Siklos, Pierre L.; Werner, Thomas
    Published: 2003
    Publisher:  Dt. Bundesbank, Frankfurt am Main

    In this paper, we investigate the relationship between stock returns and short-term interest rates. Identification of the stock return-interest rate relation is solved by using a new technique that relies on the heteroskedasticity of shocks to stock... more

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    In this paper, we investigate the relationship between stock returns and short-term interest rates. Identification of the stock return-interest rate relation is solved by using a new technique that relies on the heteroskedasticity of shocks to stock market returns. We suggest some improvements to the identification technique and its justification, as well as providing some new findings. In particular, we ask whether the Bundesbank, prior to the European Central Bank taking responsibility for monetary policy in 1999, reacted systematically to stock price movements. In contrast to the results for the US, our empirical findings for the 1985 - 1998 period show a positive, but statistically insignificant, parameter for the relationship between German stock returns and short-term interest rates at the daily frequency. The same result is found at the monthly frequency. Nevertheless, the confidence bands are wide enough that we cannot entirely exclude the possibility of a reaction at lower frequencies. The results are extremely robust to alternative methods used to identify changes in heteroskedasticity. The evidence is, therefore, inconsistent with the hypothesis of a systematic reaction of the Bundesbank to every wiggle in German stock prices. Both the historical and institutional evidence are supportive of this conclusion.

     
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    ISBN: 3935821646
    RVK Categories: QB 910 ; QK 900
    Series: Discussion paper / Economic Research Centre of the Deutsche Bundesbank ; 2003,14
    Subjects: Geldpolitik; Zins; Zinspolitik; Schätzung; Deutschland; Heteroskedastizität
    Scope: 41 S, graph. Darst, b
    Notes:

    Literaturverz. S. 25 - 27
  3. Did the Bundesbank react to stock price movements?
    Author: Bohl, Martin T.; Siklos, Pierre L.; Werner, Thomas
    Published: 2003
    Publisher:  Dt. Bundesbank, Frankfurt am Main

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    Source: Philologische Bibliothek, FU Berlin
    Language: English
    Media type: Book
    ISBN: 3935821646
    RVK Categories: QB 910 ; QK 900
    Series: Discussion paper / Economic Research Centre of the Deutsche Bundesbank ; 2003,14
    Scope: 41 S., graph. Darst. : 30 cm
    Notes:

    Literaturverz. S. 25 - 27