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The Liquidity Premium in the Money Market: A Comparison of the German Mark Period and the Euro Area

机译：货币市场中的流动性溢价：德国马克时期与欧元区的比较

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摘要

This paper investigates to what extent the expectations hypothesis of the term structure (EHTS) of interest rates receives some support since the launch of the European single currency. Empirical evidence shows that in general this theory applies to most European countries, and to Germany in particular. The objective of this paper thus is twofold. First, the EHTS for the German money market and for a larger sample including the German mark period and the euro money market is tested in order to check whether the results for the former are affected by the new financial environment since January 1999. Second, the implications of the results for the monetary policy assessment are discussed. We estimate cointegrating vector autoregressive models in order to quantify the level of the liquidity premium. The results suggest that financial markets do not consider the monetary policy of the European Central Bank simply as the one prevailing during the German period.
机译：自欧洲单一货币推出以来，本文研究了利率期限结构（EHTS）的预期假设在何种程度上得到了支持。经验证据表明，该理论通常适用于大多数欧洲国家，尤其是德国。因此，本文的目的是双重的。首先，对德国货币市场以及包括德国马克期和欧元货币市场在内的较大样本的EHTS进行测试，以检查自1999年1月以来前者的结果是否受到新的金融环境的影响。讨论了结果对货币政策评估的意义。我们估计协整向量自回归模型，以量化流动性溢价的水平。结果表明，金融市场并没有简单地将欧洲中央银行的货币政策视为德国时期的一种货币政策。

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