TY  - JOUR
A1  - Kliem, Martin
A1  - Meyer-Gohde, Alexander
T1  - (Un)expected monetary policy shocks and term premia
T2  - Journal of applied econometrics
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.
KW  - Bayesian estimation
KW  - DSGE model
KW  - monetary policy
KW  - time-varying risk premia
Y1  - 2021
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/63906
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-639065
SN  - 1099-1255
N1  - This research was supported by the Deutsche Forschungsgemeinschaft through the CRC 649 Economic Risk.
N1  - Early View: Online Version before inclusion in an issue
VL  - 2021
IS  - online version before inclusion in an issue
SP  - 1
EP  - 23
PB  - Wiley
CY  - Chichester [u.a.]
ER  -