Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/209142 
Erscheinungsjahr: 
2019
Schriftenreihe/Nr.: 
IMFS Working Paper Series No. 137
Verlag: 
Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS), Frankfurt a. M.
Zusammenfassung: 
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.
Schlagwörter: 
DSGE model
Bayesian estimation
Time-varying risk premia
Monetary policy
JEL: 
E13
E31
E43
E44
E52
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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