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Details about Wolfgang Lemke

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Workplace:European Central Bank, (more information at EDIRC)

Access statistics for papers by Wolfgang Lemke.

Last updated 2020-03-24. Update your information in the RePEc Author Service.

Short-id: ple433


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Working Papers

2020

  1. Natural Rate Chimera and Bond Pricing Reality
    DNB Working Papers, Netherlands Central Bank, Research Department Downloads

2019

  1. A tale of two decades: the ECB’s monetary policy at 20
    Working Paper Series, European Central Bank Downloads
  2. Tracing the impact of the ECB’s asset purchase programme on the yield curve
    Working Paper Series, European Central Bank Downloads View citations (4)

2018

  1. A macro-financial analysis of the corporate bond market
    Working Paper Research, National Bank of Belgium Downloads
    Also in Working Paper Series, European Central Bank (2018) Downloads

    See also Journal Article in Empirical Economics (2019)
  2. Dissecting long-term Bund yields in the run-up to the ECB's Public Sector Purchase Programme
    Annual Conference 2018 (Freiburg, Breisgau): Digital Economy, Verein für Socialpolitik / German Economic Association Downloads
    Also in Working Paper Series, European Central Bank (2017) Downloads View citations (2)

    See also Journal Article in Journal of Banking & Finance (2020)

2017

  1. Below the zero lower bound: a shadow-rate term structure model for the euro area
    Working Paper Series, European Central Bank Downloads View citations (18)
    Also in Discussion Papers, Deutsche Bundesbank (2016) Downloads View citations (11)

2015

  1. A Shadow-Rate Term Structure Model for the Euro Area
    Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association Downloads

2013

  1. What Can Break-Even Inflation Rates Tell Us about the Anchoring of Inflation Expectations in the Euro Area?
    Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order, Verein für Socialpolitik / German Economic Association Downloads View citations (2)

2011

  1. Classical time-varying FAVAR models - Estimation, forecasting and structural analysis
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (7)
    Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank (2011) Downloads View citations (12)
  2. The Changing International Transmission of Financial Shocks: Evidence from a Classical Time-Varying FAVAR
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (34)
    Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank (2011) Downloads View citations (22)

    See also Journal Article in Journal of Money, Credit and Banking (2016)

2010

  1. Predicting recession probabilities with financial variables over multiple horizons
    Working Paper Series, European Central Bank Downloads View citations (10)

2009

  1. The Janus-headed salvation: sovereign and bank credit risk premia during 2008-09
    Working Paper Series, European Central Bank Downloads View citations (26)
  2. The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics
    Working Paper Series, European Central Bank Downloads View citations (6)

2007

  1. An affine macro-finance term structure model for the euro area
    Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank Downloads
    See also Journal Article in The North American Journal of Economics and Finance (2008)
  2. Threshold dynmamics of short-term interest rates: empirical evidence and implications for the term structure
    Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank Downloads
    See also Journal Article in Economic Notes (2008)

2006

  1. Bond pricing when the short term interest rate follows a threshold process
    Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank Downloads
    See also Journal Article in Quantitative Finance (2008)
  2. Optimal Monetary Policy Response to Distortionary Tax Changes
    Computing in Economics and Finance 2006, Society for Computational Economics Downloads View citations (1)

2005

  1. Money demand and macroeconomic uncertainty
    Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank Downloads View citations (39)
  2. Using a Nonlinear Filter to Estimate a Multifactor Term Structure Model with Gaussian Mixture Innovations
    Computing in Economics and Finance 2005, Society for Computational Economics

Journal Articles

2020

  1. Dissecting long-term Bund yields in the run-up to the ECB’s public sector purchase programme
    Journal of Banking & Finance, 2020, 111, (C) Downloads
    See also Working Paper (2018)

2019

  1. A macro–financial analysis of the corporate bond market
    Empirical Economics, 2019, 57, (6), 1911-1933 Downloads
    See also Working Paper (2018)

2016

  1. The Changing International Transmission of Financial Shocks: Evidence from a Classical Time‐Varying FAVAR
    Journal of Money, Credit and Banking, 2016, 48, (4), 573-601 Downloads View citations (19)
    See also Working Paper (2011)

2015

  1. Classical time varying factor-augmented vector auto-regressive models—estimation, forecasting and structural analysis
    Journal of the Royal Statistical Society Series A, 2015, 178, (3), 493-533 Downloads View citations (16)

2011

  1. The Janus-headed salvation: Sovereign and bank credit risk premia during 2008-2009
    Economics Letters, 2011, 110, (1), 28-31 Downloads View citations (123)

2008

  1. An affine macro-finance term structure model for the euro area
    The North American Journal of Economics and Finance, 2008, 19, (1), 41-69 Downloads View citations (7)
    See also Working Paper (2007)
  2. Bond pricing when the short-term interest rate follows a threshold process
    Quantitative Finance, 2008, 8, (8), 811-822 Downloads View citations (2)
    See also Working Paper (2006)
  3. How useful is the concept of the natural real rate of interest for monetary policy?
    Cambridge Journal of Economics, 2008, 32, (1), 49-63 Downloads View citations (18)
  4. Threshold Dynamics of Short-term Interest Rates: Empirical Evidence and Implications for the Term Structure
    Economic Notes, 2008, 37, (1), 75-117 Downloads
    See also Working Paper (2007)

Books

2006

  1. Term Structure Modeling and Estimation in a State Space Framework
    Lecture Notes in Economics and Mathematical Systems, Springer View citations (2)
 
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