Evaluating the interplay of term premia, monetary policy, and the economy in the euro area
| dc.contributor.author | Herrmann, Fabian | |
| dc.date.accessioned | 2015-10-26T14:35:29Z | |
| dc.date.available | 2015-10-26T14:35:29Z | |
| dc.date.issued | 2015 | |
| dc.description.abstract | This paper investigates the interplay of term premia, monetary policy, and the economy in the euro zone. For this purpose I use a no-arbitrage macro-finance model of the term structure of government bond yields as in Ireland (2015), where yields are modeled as linear-affine functions of the state vector. Movements in term premia are captured by an unobservable risk variable. Restric- tions on the dynamic of the state equation are entailed in order to identify the structural model. The model is estimated using Bayesian estimation techniques. The results highlight a rich dynamic between term premia, monetary policy, and the economy. In line with the "practitioners view" I find that an exogenous rise in pre- mia dampens economic activity. Moreover, during the sample period, the ECB lowered the nominal short-term interest rate in response to a rise in term premia. | en |
| dc.identifier.uri | http://hdl.handle.net/2003/34317 | |
| dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-16394 | |
| dc.language.iso | en | de |
| dc.relation.ispartofseries | Discussion Paper / SFB 823;42/2015 | en |
| dc.subject.ddc | 310 | |
| dc.subject.ddc | 330 | |
| dc.subject.ddc | 620 | |
| dc.title | Evaluating the interplay of term premia, monetary policy, and the economy in the euro area | en |
| dc.type | Text | de |
| dc.type.publicationtype | workingPaper | de |
| dcterms.accessRights | open access |