Arbeitspapier
An affine macro-finance term structure model for the euro area
A joint model of macroeconomic and term structure dynamics is specified and estimated for the euro area. The model comprises a backward-looking Phillips curve, a dynamic IS equation, a monetary policy rule as well as a specification of the dynamics of trend growth and the natural real interest rate. Under the condition of no arbitrage, yields of all maturities are affine functions of the macroeconomic driving forces. With the exception of a shock to potential output growth, the response of short-term yields to macroeconomic shocks is generally stronger than that of long-term yields. Impulse responses of all bond yields are fairly persistent, which reflects the persistence of their macroeconomic driving forces. Across the whole maturity spectrum, about ninety percent of the variation in yields is explained jointly by monetary policy shocks and shocks to the natural real rate of interest; the relative contribution of the latter shock increases with time to maturity. Cost-push shocks explain at most eight percent, while shocks to the output gap play an even less important role.
- Language
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Englisch
- Bibliographic citation
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Series: Discussion Paper Series 1 ; No. 2007,13
- Classification
-
Wirtschaft
Business Fluctuations; Cycles
Asset Pricing; Trading Volume; Bond Interest Rates
Interest Rates: Determination, Term Structure, and Effects
- Subject
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affine term structure models
monetary policy
euro area
Zinsstrukturtheorie
Ökonometrisches Makromodell
Geldpolitik
Reaktionsfunktion
Schätzung
EU-Staaten
- Event
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Geistige Schöpfung
- (who)
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Lemke, Wolfgang
- Event
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Veröffentlichung
- (who)
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Deutsche Bundesbank
- (where)
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Frankfurt a. M.
- (when)
-
2007
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Lemke, Wolfgang
- Deutsche Bundesbank
Time of origin
- 2007
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