Papers by Nikolaus Siegfried
This paper discusses techniques for estimating structural vector autoregressions. Especially when... more This paper discusses techniques for estimating structural vector autoregressions. Especially when monetary policy shocks are estimated, VAR residuals turn out to be leptokurtic. It is argued that this is no coincidence but follows directly from the properties of monetary policy decisions.
This paper investigates monetary policy transmission at the microeconometric level. The credit ra... more This paper investigates monetary policy transmission at the microeconometric level. The credit rationing literature suggests that monetary policy has a larger effects on firms which are credit constrained. I use a large panel of German industrial firms to investigate whether this is empirically true in the German case. Whereas interest rates have only a weak effect on investment, I find strong evidence that monetary policy affects constrained firms more than others. Furthermore, investment is more sensitive to financial structure in periods of tight monetary policy. This contrasts earlier findings by St�� (1996). The same result applies for periods of monetary tightness. I conclude that the credit channel is dominant in Germany. Given the findings for other countries this result indicates that financial systems in the Euro area are less different than suggested in previous studies.
Policy actions by the ECB have potentially asymmetric effects across countries in Euroland. Howev... more Policy actions by the ECB have potentially asymmetric effects across countries in Euroland. However, it is unclear whether these differences remain or whether convergence has taken place. This paper considers monetary policy transmission into real activity in a SVAR model. Extending earlier work on the monetary transmission mechanism in Euroland I incorporate cointegrating relationships, I use a richer dataset and I look at subperiods to consider convergence. I conclude that differences among countries do exist but have lost importance recently. As a side effect, I find evidence that only multiple channels of monetary transmission explain the observed transmission mechanism satisfactorily.
This paper investigates monetary policy transmission at the microeconometric level. The credit ra... more This paper investigates monetary policy transmission at the microeconometric level. The credit rationing literature suggests that monetary policy has a larger effects on firms which are credit constrained. I use a large panel of German industrial firms to investigate whether this is empirically true in the German case. Whereas interest rates have only a weak effect on investment, I find strong evidence that monetary policy affects constrained firms more than others. Furthermore, investment is more sensitive to financial structure in periods of tight monetary policy. This contrasts earlier findings by St�� (1996). The same result applies for periods of monetary tightness. I conclude that the credit channel is dominant in Germany. Given the findings for other countries this result indicates that financial systems in the Euro area are less different than suggested in previous studies.
This paper discusses techniques for estimating structural vector autoregressions. Especially when... more This paper discusses techniques for estimating structural vector autoregressions. Especially when monetary policy shocks are estimated, VAR residuals turn out to be leptokurtic. It is argued that this is no coincidence but follows directly from the properties of monetary policy decisions. The paper proceeds to suggest an independent components estimator (ICE) that works well with leptokurtic residuals. Furthermore, the ICE
Islamic Law and Society, 2000
Arab Law Quarterly, 2000
... I, p. 270. 33 Ibid., p. 273. 34 Al-Tanukhi, Sahnun Ibn Sa'id, al-Mudawwana al-kubra, Cai... more ... I, p. 270. 33 Ibid., p. 273. 34 Al-Tanukhi, Sahnun Ibn Sa'id, al-Mudawwana al-kubra, Cairo, 1323-4H, 16 Vols., Vol.VIII, p. 133. 35 Al-Baji, Abi al-Walid Suleyman, Kitab al-muntaqa, Cairo, 1332H, 7 Vols., Vol. IV, p. 259. 36 Abd al-Wahab, Kitdb al-ishrdf, Tunis, sd, Vol. I, p. 174. ...
Quantitative Macroeconomics Working Papers, Oct 28, 1999
We offer some empirical evidence on the likely scale of control and indicator problems surroundin... more We offer some empirical evidence on the likely scale of control and indicator problems surrounding alternative monetary targets and a direct inflation target. The links between monetary policy actions and inflation are estimated in dynamic linear models using the Kalman filter. We compare alternative intermediate-target and final-target monetary strategies using German data from the end of the Bretton Woods system until 1997. The estimation results show that broad money dominates narrow money as an intermediate target, while control problems involved in targeting broad money are larger than for direct inflation targets.
In 2007 all ECB publications feature a motif taken from the €20 banknote. AbSTRACT 4 SUmmARY 5 RE... more In 2007 all ECB publications feature a motif taken from the €20 banknote. AbSTRACT 4 SUmmARY 5 REFERENCES 2 1 APPENdIX WORLd CRUdE OIL TRAdE FLOWS 24 4 ECB
Quantitative Macroeconomics Working Papers, 1999
Http Dx Doi Org 10 1080 0003684042000217599, Feb 2, 2007
ABSTRACT The experience with the two pillar strategy of the European Central Bank (ECB) suggests ... more ABSTRACT The experience with the two pillar strategy of the European Central Bank (ECB) suggests that at some point in the future the ECB may have to commit to one of the more traditional policy strategies - a direct inflation target or an intermediate monetary target. This study offers some information on the scale of control and indicator problems associated with both strategies. We estimate the links between monetary policy actions and inflation in dynamic linear models with the Kalman filter. Using European M3 that the ECB has published, it is found that the overall control problems involved in targeting money are larger than for direct inflation targets.
In 2006 all ECB publications feature a motif taken from the €5 banknote. This paper can be downlo... more In 2006 all ECB publications feature a motif taken from the €5 banknote. This paper can be downloaded without charge from
We analyse empirically the effect of uncertainty on the investment decisions of a sample of quote... more We analyse empirically the effect of uncertainty on the investment decisions of a sample of quoted German firms. The uncertainty measures are constructed by employing two procedures: the conventional formula of standard deviation, and the GARCH methodology. In the econometric estimates the investment rate is shown to depend negatively on a variable that results from the interaction between uncertainty and market concentration.
Corsetti, Pesetti & Roubini (1999) present a model of the Asian crisis focussed on moral hazard a... more Corsetti, Pesetti & Roubini (1999) present a model of the Asian crisis focussed on moral hazard as a source of overinvestment. In this comment, we show that the model as stated by them does not necessarily imply moral hazard. We provide and discuss an additional assumption, which is necessary and su#cient for moral hazard to arise. Keywords: Moral hazard, Balance of payment crisis, International lending, Speculative attacks, Asia JEL classification: F31, F34, G15, G18 # Corresponding Author. Hamburg University, Department of Economics, Von Melle Park 5, 20146 Hamburg, Germany, [email protected], Phone: (+49) 40 42838 6407, Fax: (+49) 40 42838 5546 1 The Model Assume an economy with the aggregate production function Y t =
The Gulf Cooperation Council (GCC) plans to introduce a single currency by 2010 in its six member... more The Gulf Cooperation Council (GCC) plans to introduce a single currency by 2010 in its six member states, Bahrain, Kuwait, Oman, Qatar, Saudi Arabia and the UAE. This paper focuses on selected macroeconomic and institutional issues and key policy choices which are likely to arise during the process of monetary integration. The main findings are that (i) a supranational GCC monetary institution is required to conduct a single monetary and exchange rate policy geared to economic, monetary and financial conditions in the monetary union as a whole; (ii) GCC member states have already achieved a remarkable degree of monetary convergence, but fiscal convergence remains a challenge and needs to be supported by an appropriate fiscal policy framework; and (iii) there is currently a high degree of structural convergence, although this is expected to diminish in view of the process of diversification in GCC economies, which calls for adequate policy responses.
Investing Today for the World of Tomorrow, 2001
Workers’ remittances have become the second largest source of net financial flows to developing c... more Workers’ remittances have become the second largest source of net financial flows to developing countries. However, the main motives for sending remittances remain controversial. This paper examines the importance of altruistic versus investment motives using a new panel data set of bilateral flows from 21 Western European to 7 EU neighbouring countries. We find that altruism is important for remitting,
German Economic Review, 2001
We offer some empirical evidence on the likely scale of control and indicator problems surroundin... more We offer some empirical evidence on the likely scale of control and indicator problems surrounding alternative monetary targets and a direct inflation target. The links between monetary policy actions and inflation are estimated in dynamic linear models using the Kalman filter. We compare alternative intermediate-target and final-target monetary strategies using German data from the end of the Bretton Woods system until 1997. The estimation results show that broad money dominates narrow money as an intermediate target, while control problems involved in targeting broad money are larger than for direct inflation targets.
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Papers by Nikolaus Siegfried