المستودع الأكاديمي جامعة المدينة

Towards a Joint Characterization of Monetary Policy and the Dynamics of the Term Structure of Interest Rates

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dc.creator Fendel, Ralf
dc.date 2004
dc.date.accessioned 2013-10-16T07:05:15Z
dc.date.available 2013-10-16T07:05:15Z
dc.date.issued 2013-10-16
dc.identifier http://hdl.handle.net/10419/19491
dc.identifier ppn:396201210
dc.identifier RePEc:zbw:bubdp1:2290
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/19491
dc.description The paper develops an empirical no-arbitrage Gaussian affine term structure model to explain the dynamics of the German term structure of interest rates from 1979 through 1998. In contrast to most affine term structure models two risk factors that drive the dynamics are linked to observable macroeconomics factors: output and inflation. The results obtained by a Kalman-filter-based maximum likelihood procedure indicate that the dynamics of the German term structure of interest rates can be sufficiently explained by expected variations in those macroeconomic factors plus an additional unobservable factor. Furthermore, we are able to extract a monetary policy reaction function within this no-arbitrage model of the term structure that closely resembles the empirical reaction functions that are based on the dynamics of the short rate only.
dc.language eng
dc.relation Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2004,24
dc.rights http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject E58
dc.subject E43
dc.subject G12
dc.subject ddc:330
dc.subject affine term structure models
dc.subject monetary policy rules
dc.subject Kalman filter
dc.subject Zinsstrukturtheorie
dc.subject Zinsstruktur
dc.subject Volatilität
dc.subject Geldpolitik
dc.subject Regelgebundene Politik
dc.subject Reaktionsfunktion
dc.subject Schätzung
dc.subject Deutschland
dc.title Towards a Joint Characterization of Monetary Policy and the Dynamics of the Term Structure of Interest Rates
dc.type doc-type:workingPaper
dc.coverage 1979-1998


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