TY  - UNPD
A1  - Kliem, Martin
A1  - Meyer-Gohde, Alexander
T1  - (Un)expected monetary policy shocks and term premia
T2  - Working paper series / Institute for Monetary and Financial Stability ; 137
N2  - The term structure of interest rates is crucial for the transmission of monetary policy to financial markets and the macroeconomy. Disentangling the impact of monetary policy on the components of interest rates, expected short rates and term premia, is essential to understanding this channel. To accomplish this, we provide a quantitative structural model with endogenous, time-varying term premia that are consistent with empirical findings. News about future policy, in contrast to unexpected policy shocks, has quantitatively significant effects on term premia along the entire term structure. This provides a plausible explanation for partly contradictory estimates in the empirical literature.
T3  - Working paper series / Institute for Monetary and Financial Stability - 137 
KW  - DSGE model
KW  - Bayesian estimation
KW  - time-varying risk premia
KW  - monetary policy
Y1  - 2019
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/52958
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-529584
UR  - https://www.imfs-frankfurt.de/fileadmin/user_upload/IMFS_WP/IMFS_WP_137.pdf
PB  - Johann Wolfgang Goethe-Univ., Inst. for Monetary and Financial Stability
CY  - Frankfurt am Main
ER  -