Artikel
(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.
- Language
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Englisch
- Bibliographic citation
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Journal: Journal of Applied Econometrics ; ISSN: 1099-1255 ; Volume: 37 ; Year: 2021 ; Issue: 3 ; Pages: 477-499 ; Hoboken, USA: Wiley Periodicals, Inc.
- Classification
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Wirtschaft
- Subject
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Bayesian estimation
DSGE model
monetary policy
time‐varying risk premia
- 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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Wiley Periodicals, Inc.
- (where)
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Hoboken, USA
- (when)
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2021
- DOI
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doi:10.1002/jae.2872
- Handle
- Last update
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10.03.2025, 11:43 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
- Artikel
Associated
- Kliem, Martin
- Meyer‐Gohde, Alexander
- Wiley Periodicals, Inc.
Time of origin
- 2021
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(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