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Julius-Maximilians-Universität Würzburg >
Lehrstuhl für Volkswirtschaftslehre, Geldund internationale Wirtschaftsbeziehungen, Universität Würzburg >
W.E.P. - Würzburg Economic Papers, Lst. f. VWL, Geld u. internat. Wirtschaftsbeziehungen, Universität Würzburg >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/65863
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Gareis, Johannes | | en_US |
| dc.contributor.author | | Mayer, Eric | | en_US |
| dc.date.accessioned | | 2012-11-05 | | en_US |
| dc.date.accessioned | | 2012-11-05T12:45:18Z | | - |
| dc.date.available | | 2012-11-05T12:45:18Z | | - |
| dc.date.issued | | 2012 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/65863 | | - |
| dc.description.abstract | | This paper challenges the view that the observed negative correlation between the Federal Funds rate and the interest rate implied by consumption Euler equations is systematically linked to monetary policy. By using a Monte Carlo experiment, we show that stochastic risk premium disturbances have the capability to drive a wedge between the interest rate targeted by the central bank and the implied Euler equation interest rate such that the correlation between actual and implied rates is negative. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Univ., Dep. of Economics, Chair VWL 1 Würzburg | | en_US |
| dc.relation.ispartofseries | | Würzburg Economic Papers 89 | | en_US |
| dc.subject.jel | | E10 | | en_US |
| dc.subject.jel | | E43 | | en_US |
| dc.subject.jel | | E44 | | en_US |
| dc.subject.jel | | E52 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Euler Interest Rate | | en_US |
| dc.subject.keyword | | Monetary Policy | | en_US |
| dc.subject.keyword | | Risk Premium Shocks | | en_US |
| dc.title | | Euler equations and money market interest rates: The role of monetary and risk premium shocks | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 729179907 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| dc.identifier.repec | | RePEc:zbw:wuewep:89 | | - |
| Appears in Collections: | | W.E.P. - Würzburg Economic Papers, Lst. f. VWL, Geld u. internat. Wirtschaftsbeziehungen, Universität Würzburg
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