Evaluating the interplay of term premia, monetary policy, and the economy in the euro area

dc.contributor.authorHerrmann, Fabian
dc.date.accessioned2015-10-26T14:35:29Z
dc.date.available2015-10-26T14:35:29Z
dc.date.issued2015
dc.description.abstractThis 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.urihttp://hdl.handle.net/2003/34317
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-16394
dc.language.isoende
dc.relation.ispartofseriesDiscussion Paper / SFB 823;42/2015en
dc.subject.ddc310
dc.subject.ddc330
dc.subject.ddc620
dc.titleEvaluating the interplay of term premia, monetary policy, and the economy in the euro areaen
dc.typeTextde
dc.type.publicationtypeworkingPaperde
dcterms.accessRightsopen access

Files

Original bundle
Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
DP_4215_SFB823_Herrmann.pdf
Size:
522.7 KB
Format:
Adobe Portable Document Format
Description:
DNB
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
3.12 KB
Format:
Item-specific license agreed upon to submission
Description: