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dc.creator Lemke, Wolfgang
dc.date 2007
dc.date.accessioned 2013-10-16T07:06:17Z
dc.date.available 2013-10-16T07:06:17Z
dc.date.issued 2013-10-16
dc.identifier http://hdl.handle.net/10419/19689
dc.identifier ppn:534695019
dc.identifier RePEc:zbw:bubdp1:5865
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/19689
dc.description A joint model of macroeconomic and term structure dynamics is specified and estimated for the euro area. The model comprises a backward-looking Phillips curve, a dynamic IS equation, a monetary policy rule as well as a specification of the dynamics of trend growth and the natural real interest rate. Under the condition of no arbitrage, yields of all maturities are affine functions of the macroeconomic driving forces. With the exception of a shock to potential output growth, the response of short-term yields to macroeconomic shocks is generally stronger than that of long-term yields. Impulse responses of all bond yields are fairly persistent, which reflects the persistence of their macroeconomic driving forces. Across the whole maturity spectrum, about ninety percent of the variation in yields is explained jointly by monetary policy shocks and shocks to the natural real rate of interest; the relative contribution of the latter shock increases with time to maturity. Cost-push shocks explain at most eight percent, while shocks to the output gap play an even less important role.
dc.language eng
dc.relation Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2007,13
dc.rights http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject E32
dc.subject G12
dc.subject E43
dc.subject ddc:330
dc.subject affine term structure models
dc.subject monetary policy
dc.subject euro area
dc.subject Zinsstrukturtheorie
dc.subject Ökonometrisches Makromodell
dc.subject Geldpolitik
dc.subject Reaktionsfunktion
dc.subject Schätzung
dc.subject EU-Staaten
dc.title An affine macro-finance term structure model for the euro area
dc.type doc-type:workingPaper


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أعرض تسجيلة المادة بشكل مبسط