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http://hdl.handle.net/10419/19491
  

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DC FieldValueLanguage
dc.contributor.authorFendel, Ralfen_US
dc.coverage.temporal1979-1998en_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 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.en_US
dc.language.isoengen_US
dc.relation.ispartofseriesDiscussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2004,24en_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-
Appears in Collections:Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank

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