(Un)expected monetary policy shocks and term premia
Martin Kliem () and
No 137, IMFS Working Paper Series from Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS)
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.
Keywords: DSGE model; Bayesian estimation; Time-varying risk premia; Monetary policy (search for similar items in EconPapers)
JEL-codes: E13 E31 E43 E44 E52 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-dge, nep-mac and nep-mon
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Working Paper: (Un)expected Monetary Policy Shocks and Term Premia (2018)
Working Paper: (Un)expected Monetary Policy Shocks and Term Premia (2017)
Working Paper: (Un)expected monetary policy shocks and term premia (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:imfswp:137
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