(Un)expected monetary policy shocks and term premia
- 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.
Author: | Martin Kliem, Alexander Meyer-GohdeORCiD |
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URN: | urn:nbn:de:hebis:30:3-639065 |
DOI: | https://doi.org/10.1002/jae.2872 |
ISSN: | 1099-1255 |
Parent Title (English): | Journal of applied econometrics |
Publisher: | Wiley |
Place of publication: | Chichester [u.a.] |
Document Type: | Article |
Language: | English |
Date of Publication (online): | 2021/08/06 |
Date of first Publication: | 2021/08/06 |
Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
Release Date: | 2022/03/09 |
Tag: | Bayesian estimation; DSGE model; monetary policy; time-varying risk premia |
Volume: | 2021 |
Issue: | online version before inclusion in an issue |
Page Number: | 23 |
First Page: | 1 |
Last Page: | 23 |
Note: | This research was supported by the Deutsche Forschungsgemeinschaft through the CRC 649 Economic Risk. |
Note: | Early View: Online Version before inclusion in an issue |
HeBIS-PPN: | 493743162 |
Institutes: | Wirtschaftswissenschaften |
Wissenschaftliche Zentren und koordinierte Programme / Institute for Monetary and Financial Stability (IMFS) | |
Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
Sammlungen: | Universitätspublikationen |
Licence (English): | Creative Commons - Namensnennung-Nicht kommerziell 4.0 |