Arbeitspapier
(Un)expected Monetary Policy Shocks and Term Premia
We analyze an estimated stochastic general equilibrium model that replicates key macroeconomic and fi nancial stylized facts during the Great Moderation of 1983-2007. Our model predicts a sizeable and volatile nominal term premium - comparable to recent reduced-form empirical estimates - with real risk two times more important than inflation risk for the average nominal term premia. The model enables us to address salient questions about the effects of monetary policy on the term structure of interest rates. We fi nd that monetary policy shocks can have differing effects on risk premia. Actions by the monetary authority with a persistent effect on households' expectations have substantial effects on nominal and real risk premia. Our model rationalizes many of the opposing findings on the effects of monetary policy on term premia in the empirical literature.
- Language
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Englisch
- Bibliographic citation
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Series: SFB 649 Discussion Paper ; No. 2017-015
- Classification
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Wirtschaft
General Aggregative Models: Neoclassical
Price Level; Inflation; Deflation
Interest Rates: Determination, Term Structure, and Effects
Financial Markets and the Macroeconomy
Monetary Policy
- Subject
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DSGE model
Bayesian estimation
Term structure
Monetary policy
- Event
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Geistige Schöpfung
- (who)
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Kliem, Martin
Meyer-Gohde, Alexander
- Event
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Veröffentlichung
- (who)
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Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (where)
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Berlin
- (when)
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2017
- Handle
- Last update
-
10.03.2025, 11:41 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
- Kliem, Martin
- Meyer-Gohde, Alexander
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Time of origin
- 2017
Other Objects (12)
(Un)expected Monetary Policy Shocks and Term Premia
(Un)expected monetary policy shocks and term premia
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(Un)expected Monetary Policy Shocks and Term Premia
(Un)expected monetary policy shocks and term premia
(Un)expected monetary policy shocks and term premia
(Un)expected monetary policy shocks and term premia
(Un)expected monetary policy shocks and term premia
(Un)expected monetary policy shocks and term premia
Monetary policy, expected inflation and inflation risk premia
Forecasting expected and unexpected losses
Monetary policy surprises and their transmission through term premia and expected interest rates
(Un)expected extensions of the multicatalysis concept
When uncertainty decouples expected and unexpected losses
Macro expectations, aggregate uncertainty, and expected term premia
(Un)expected Monetary Policy Shocks and Term Premia
(Un)expected monetary policy shocks and term premia
(Un)expected monetary policy shocks and term premia
(Un)expected monetary policy shocks and term premia
(Un)expected monetary policy shocks and term premia
(Un)expected monetary policy shocks and term premia
Monetary policy, expected inflation and inflation risk premia
Forecasting expected and unexpected losses
Monetary policy surprises and their transmission through term premia and expected interest rates
(Un)expected extensions of the multicatalysis concept
When uncertainty decouples expected and unexpected losses