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.
- Sprache
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Englisch
- Erschienen in
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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.
- Klassifikation
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Wirtschaft
- Thema
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Bayesian estimation
DSGE model
monetary policy
time‐varying risk premia
- Ereignis
-
Geistige Schöpfung
- (wer)
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Kliem, Martin
Meyer‐Gohde, Alexander
- Ereignis
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Veröffentlichung
- (wer)
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Wiley Periodicals, Inc.
- (wo)
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Hoboken, USA
- (wann)
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2021
- DOI
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doi:10.1002/jae.2872
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Kliem, Martin
- Meyer‐Gohde, Alexander
- Wiley Periodicals, Inc.
Entstanden
- 2021
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