(Un)expected monetary policy shocks and term premia

Martin Kliem and Alexander Meyer-Gohde

No 30/2017, Discussion Papers from Deutsche Bundesbank

Abstract: We analyze an estimated stochastic general equilibrium model that replicates key macroeconomic and financial stylized facts during the Great Moderation of 1983-2007. Our model predicts a sizeable and volatile nominal term premium - comparable to recent reduced-form empirical estimates - with real risk two times more important than inflation risk. The model enables us to address salient questions about the effects of monetary policy on the term structure of interest rates. We find that monetary policy can have sizeable and differing effects on nominal and real risk premia, rationalizing many opposing findings in the empirical literature.

Keywords: DSGE model; Bayesian estimation; Term structure; Monetary policy (search for similar items in EconPapers)
JEL-codes: E13 E31 E43 E44 E52 (search for similar items in EconPapers)
Date: 2017
New Economics Papers: this item is included in nep-cba, nep-dge, nep-mac and nep-mon
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Citations: View citations in EconPapers (8)

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Related works:
Journal Article: (Un)expected monetary policy shocks and term premia (2022)
Working Paper: (Un)expected monetary policy shocks and term premia (2019)
Working Paper: (Un)expected Monetary Policy Shocks and Term Premia (2018)
Working Paper: (Un)expected Monetary Policy Shocks and Term Premia (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:bubdps:302017

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