Ein Vierteljahres-Modell des Geld- und Kreditsektors Österreichs

Summary

This study presents an econometric analysis of the monetary sector of the Austrian economy. The main focus of interest lies in the money and credit markets. We specify nine behavioral equations for the money demand sector, for the commercial banks, for the credit market, and for the bonds market, respectively. Great emphasis is put on the analogous specification of theoretically related equations; these are estimated on a quarterly basis. In order to obtain unbiased estimates we use two-stage-least-squares as estimation technique. All behavioral equations are based on a partial adjustment process. We try to avoid the concept of exogenous money supply and a monetary base completely controlled by the monetary authorities; specifications based on these concepts do not stand up against examination by simultaneous estimation methods.

Another important feature of the model lies in the explicit inclusion of the main instruments of monetary authorities into the analysis. We try to show possible influences of these instruments on the monetary sector by means of the model's reduced form and by means of simulation experiments. We also report some preliminary results on the transmission process which can be obtained by combination of the monetary model with a model of the real sector of the Austrian economy. In order to evaluate the forecasting properties of the model we calculate ex post and ex ante forecast errors. In general, the results of this test are satisfactory.