@techreport{Fendel2004Towards,
abstract = {The paper develops an empirical no-arbitrage Gaussian affine term structure model to
explain the dynamics of the German term structure of interest rates from 1979 through
1998. In contrast to most affine term structure models two risk factors that drive the
dynamics are linked to observable macroeconomics factors: output and inflation. The
results obtained by a Kalman-filter-based maximum likelihood procedure indicate that
the dynamics of the German term structure of interest rates can be sufficiently explained
by expected variations in those macroeconomic factors plus an additional unobservable
factor. Furthermore, we are able to extract a monetary policy reaction function within
this no-arbitrage model of the term structure that closely resembles the empirical
reaction functions that are based on the dynamics of the short rate only.},
author = {Ralf Fendel},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {E58; E43; G12; 330; affine term structure models; monetary policy rules; Kalman filter; Zinsstrukturtheorie; Zinsstruktur; Volatilit\"{a}t; Geldpolitik; Regelgebundene Politik; Reaktionsfunktion; Sch\"{a}tzung; Deutschland},
language = {eng},
number = {2004,24},
title = {Towards a Joint Characterization of Monetary Policy and the Dynamics of the Term Structure of Interest Rates},
type = {Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank},
url = {http://hdl.handle.net/10419/19491},
year = {2004}
}
