Details about Wolfgang Lemke

Access statistics for papers by Wolfgang Lemke.

Last updated 2025-02-07. Update your information in the RePEc Author Service.

Short-id: ple433

Working Papers

2025

1. Time-varying risk aversion and inflation-consumption correlation in an equilibrium term structure model
   Working Paper Series, European Central Bank

2021

2. Assessing the efficacy, efficiency and potential side effects of the ECB’s monetary policy instruments since 2014
   Occasional Paper Series, European Central Bank View citations (10)
3. Combining negative rates, forward guidance and asset purchases: identification and impacts of the ECB’s unconventional policies
   Working Paper Series, European Central Bank View citations (18)
4. Natural rate chimera and bond pricing reality
   Working Paper Series, European Central Bank View citations (5)
   Also in VfS Annual Conference 2020 (Virtual Conference): Gender Economics, Verein für Socialpolitik / German Economic Association (2020) View citations (11)

2020

5. Tracing the impact of the ECB's asset purchase programme on the yield curve
   VfS Annual Conference 2020 (Virtual Conference): Gender Economics, Verein für Socialpolitik / German Economic Association
   Also in Working Paper Series, European Central Bank (2019) View citations (22)
   See also Journal Article Tracing the Impact of the ECB’s Asset Purchase Program on the Yield Curve, International Journal of Central Banking, International Journal of Central Banking (2023) (2023)

2019

6. A Macro-Financial Analysis of the Corporate Bond Market
   LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN) View citations (3)
   Also in Working Paper Series, European Central Bank (2018)
   Working Paper Research, National Bank of Belgium (2018)
   See also Journal Article A macro–financial analysis of the corporate bond market, Empirical Economics, Springer (2019) View citations (3) (2019)
7. A tale of two decades: the ECB’s monetary policy at 20
   Working Paper Series, European Central Bank View citations (91)

2018

8. Dissecting long-term Bund yields in the run-up to the ECB's Public Sector Purchase Programme
   VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy, Verein für Socialpolitik / German Economic Association
   Also in Working Paper Series, European Central Bank (2017) View citations (6)
   See also Journal Article Dissecting long-term Bund yields in the run-up to the ECB’s public sector purchase programme, Journal of Banking & Finance, Elsevier (2020) View citations (10) (2020)

2017

9. Below the zero lower bound: a shadow-rate term structure model for the euro area
   Working Paper Series, European Central Bank View citations (62)
   Also in Discussion Papers, Deutsche Bundesbank (2016) View citations (33)

2015

10. A Shadow-Rate Term Structure Model for the Euro Area
    VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association View citations (4)

2013

11. What Can Break-Even Inflation Rates Tell Us about the Anchoring of Inflation Expectations in the Euro Area?
    VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order, Verein für Socialpolitik / German Economic Association View citations (3)

2011

12. Classical time-varying FAVAR models - Estimation, forecasting and structural analysis
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (13)
    Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank (2011) View citations (19)
13. The Changing International Transmission of Financial Shocks: Evidence from a Classical Time-Varying FAVAR
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (49)
    Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank (2011) View citations (41)
    See also Journal Article The Changing International Transmission of Financial Shocks: Evidence from a Classical Time‐Varying FAVAR, Journal of Money, Credit and Banking, Blackwell Publishing (2016) View citations (44) (2016)

2010

14. Predicting recession probabilities with financial variables over multiple horizons
    Working Paper Series, European Central Bank View citations (19)

2009

15. The Janus-headed salvation: sovereign and bank credit risk premia during 2008-09
    Working Paper Series, European Central Bank View citations (161)
16. The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics
    Working Paper Series, European Central Bank View citations (16)

2007

17. An affine macro-finance term structure model for the euro area
    Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank
    See also Journal Article An affine macro-finance term structure model for the euro area, The North American Journal of Economics and Finance, Elsevier (2008) View citations (9) (2008)
18. Threshold dynmamics of short-term interest rates: empirical evidence and implications for the term structure
    Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank View citations (1)
    See also Journal Article Threshold Dynamics of Short‐term Interest Rates: Empirical Evidence and Implications for the Term Structure, Economic Notes, Banca Monte dei Paschi di Siena SpA (2008) (2008)

2006

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

2005

21. Money demand and macroeconomic uncertainty
    Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank View citations (81)
22. 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

2023

1. Tracing the Impact of the ECB’s Asset Purchase Program on the Yield Curve
   International Journal of Central Banking, 2023, 19, (3), 359-422
   See also Working Paper Tracing the impact of the ECB's asset purchase programme on the yield curve, VfS Annual Conference 2020 (Virtual Conference): Gender Economics (2020) (2020)

2020

2. Dissecting long-term Bund yields in the run-up to the ECB’s public sector purchase programme
   Journal of Banking & Finance, 2020, 111, (C) View citations (10)
   See also Working Paper Dissecting long-term Bund yields in the run-up to the ECB's Public Sector Purchase Programme, VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy (2018) (2018)

2019

3. A macro–financial analysis of the corporate bond market
   Empirical Economics, 2019, 57, (6), 1911-1933 View citations (3)
   See also Working Paper A Macro-Financial Analysis of the Corporate Bond Market, LIDAM Reprints LFIN (2019) View citations (3) (2019)

2016

4. 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 View citations (44)
   See also Working Paper The Changing International Transmission of Financial Shocks: Evidence from a Classical Time-Varying FAVAR, CEPR Discussion Papers (2011) View citations (49) (2011)

2015

5. 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 View citations (37)

2011

6. The Janus-headed salvation: Sovereign and bank credit risk premia during 2008-2009
   Economics Letters, 2011, 110, (1), 28-31 View citations (156)

2008

7. An affine macro-finance term structure model for the euro area
   The North American Journal of Economics and Finance, 2008, 19, (1), 41-69 View citations (9)
   See also Working Paper An affine macro-finance term structure model for the euro area, Discussion Paper Series 1: Economic Studies (2007) (2007)
8. Bond pricing when the short-term interest rate follows a threshold process
   Quantitative Finance, 2008, 8, (8), 811-822 View citations (2)
   See also Working Paper Bond pricing when the short term interest rate follows a threshold process, Discussion Paper Series 1: Economic Studies (2006) (2006)
9. How useful is the concept of the natural real rate of interest for monetary policy?
   Cambridge Journal of Economics, 2008, 32, (1), 49-63 View citations (25)
10. Threshold Dynamics of Short‐term Interest Rates: Empirical Evidence and Implications for the Term Structure
    Economic Notes, 2008, 37, (1), 75-117
    See also Working Paper Threshold dynmamics of short-term interest rates: empirical evidence and implications for the term structure, Discussion Paper Series 1: Economic Studies (2007) View citations (1) (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)