(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.

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Metadaten
Author:Martin Kliem, Alexander Meyer-GohdeORCiD
URN:urn:nbn:de:hebis:30:3-529584
URL:https://www.imfs-frankfurt.de/fileadmin/user_upload/IMFS_WP/IMFS_WP_137.pdf
Parent Title (English):Working paper series / Institute for Monetary and Financial Stability ; 137
Series (Serial Number):Working paper series / Institute for Monetary and Financial Stability (137)
Publisher:Johann Wolfgang Goethe-Univ., Inst. for Monetary and Financial Stability
Place of publication:Frankfurt am Main
Document Type:Working Paper
Language:English
Year of Completion:2019
Year of first Publication:2019
Publishing Institution:Universitätsbibliothek Johann Christian Senckenberg
Release Date:2020/02/25
Tag:Bayesian estimation; DSGE model; monetary policy; time-varying risk premia
Edition:This draft: December 9, 2019
Page Number:69
HeBIS-PPN:460781987
Institutes:Wirtschaftswissenschaften / Wirtschaftswissenschaften
Wissenschaftliche Zentren und koordinierte Programme / Institute for Monetary and Financial Stability (IMFS)
Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS)
Wissenschaftliche Zentren und koordinierte Programme / Sustainable Architecture for Finance in Europe (SAFE)
Dewey Decimal Classification:3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft
Sammlungen:Universitätspublikationen
Licence (German):License LogoDeutsches Urheberrecht