Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/19491
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dc.contributor.authorFendel, Ralfen_US
dc.date.accessioned2009-01-28T15:58:56Z-
dc.date.available2009-01-28T15:58:56Z-
dc.date.issued2004en_US
dc.identifier.urihttp://hdl.handle.net/10419/19491-
dc.description.abstractThe paper develops an empirical no-arbitrage Gaussian affine term structure model toexplain the dynamics of the German term structure of interest rates from 1979 through1998. In contrast to most affine term structure models two risk factors that drive thedynamics are linked to observable macroeconomics factors: output and inflation. Theresults obtained by a Kalman-filter-based maximum likelihood procedure indicate thatthe dynamics of the German term structure of interest rates can be sufficiently explainedby expected variations in those macroeconomic factors plus an additional unobservablefactor. Furthermore, we are able to extract a monetary policy reaction function withinthis no-arbitrage model of the term structure that closely resembles the empiricalreaction functions that are based on the dynamics of the short rate only.en_US
dc.language.isoengen_US
dc.publisher|aDeutsche Bundesbank |cFrankfurt a. M.-
dc.relation.ispartofseries|aDiscussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank |x2004,24en_US
dc.subject.jelE58en_US
dc.subject.jelE43en_US
dc.subject.jelG12en_US
dc.subject.ddc330en_US
dc.subject.keywordaffine term structure modelsen_US
dc.subject.keywordmonetary policy rulesen_US
dc.subject.keywordKalman filteren_US
dc.subject.stwZinsstrukturtheorieen_US
dc.subject.stwZinsstrukturen_US
dc.subject.stwVolatilitäten_US
dc.subject.stwGeldpolitiken_US
dc.subject.stwRegelgebundene Politiken_US
dc.subject.stwReaktionsfunktionen_US
dc.subject.stwSchätzungen_US
dc.subject.stwDeutschlanden_US
dc.titleTowards a Joint Characterization of Monetary Policy and the Dynamics of the Term Structure of Interest Ratesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn396201210en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:bubdp1:2290-

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