The Effect of Monetary Unification on German Bond Markets

37 Pages Posted: 24 Nov 2001

See all articles by Hans Dewachter

Hans Dewachter

Catholic University of Leuven (KUL) - Department of Economics; Erasmus Research Institute of Management (ERIM)

Marco Lyrio

Insper Institute of Education and Research

Stan Maes

European Commission - DG Internal market and financial services; European Commission - DG Competition; KU Leuven - Department of Economics

Multiple version iconThere are 2 versions of this paper

Date Written: April 2002

Abstract

This paper uses reprojection to develop a benchmark to assess ECB monetary policy since January 1999, the start of EMU. We first estimate an essentially affine term structure model for the German SWAP yield curve between 1987:04-1998:12. The German monetary policy is then reprojected onto the EMU period (1999:01-2002:02). We find that the German real interest rate in place during the EMU period is significantly lower than it would have been in case the Bundesbank were still in charge of monetary policy. We also show the effect of EMU on the German SWAP\ yield curve. Short- and medium-term bonds seem to have been more affected than long-term bonds.

Keywords: EMU, ECB, Bundesbank, central bank monetary policy rule, essentially affine term structure model

JEL Classification: E43, E44, E52, E58

Suggested Citation

Dewachter, Hans and Lyrio, Marco and Maes, Konstantijn, The Effect of Monetary Unification on German Bond Markets (April 2002). Available at SSRN: https://ssrn.com/abstract=291728 or http://dx.doi.org/10.2139/ssrn.291728

Hans Dewachter (Contact Author)

Catholic University of Leuven (KUL) - Department of Economics ( email )

Center for Economic Studies
Naamsestraat 69
Leuven, B-3000
Belgium
+0032 16 326859 (Phone)
+0032 16 326796 (Fax)

Erasmus Research Institute of Management (ERIM)

P.O. Box 1738
3000 DR Rotterdam
Netherlands

Marco Lyrio

Insper Institute of Education and Research ( email )

R Quata 300
Sao Paulo, 04542-030
Brazil

HOME PAGE: http://www.insper.edu.br/en/faculty-and-research/marco-lyrio

Konstantijn Maes

European Commission - DG Internal market and financial services ( email )

Rue de la Loi 200
Brussels, B-1049
Belgium

European Commission - DG Competition ( email )

Place Madou, Madouplein 1
Saint-Josse-ten-Noode/Sint-Joost-ten-Noode
Brussels, B-1049
Belgium

KU Leuven - Department of Economics ( email )

Naamsestraat 69
2nd Floor
B-3000 Leuven
Belgium

HOME PAGE: http://www.econ.kuleuven.ac.be/ew/academic/intecon

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
197
Abstract Views
2,173
rank
150,793
PlumX Metrics