(Un)expected monetary policy shocks and term premia
| Autor: | Martin Kliem, Alexander Meyer-Gohde |
|---|---|
| Rok vydání: | 2021 |
| Předmět: |
DSGE model
Economics and Econometrics media_common.quotation_subject Financial market Monetary policy monetary policy Monetary economics Bayesian estimation Interest rate Term (time) Short rate ddc:330 Dynamic stochastic general equilibrium Economics time‐varying risk premia Yield curve Literature study Social Sciences (miscellaneous) media_common |
| Zdroj: | Journal of Applied Econometrics. 37:477-499 |
| ISSN: | 1099-1255 0883-7252 |
| DOI: | 10.1002/jae.2872 |
| Popis: | 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. |
| Databáze: | OpenAIRE |
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