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dc.contributor.authorGareis, Johannesen_US
dc.contributor.authorMayer, Ericen_US
dc.date.accessioned2012-11-05en_US
dc.date.accessioned2012-11-05T12:45:18Z-
dc.date.available2012-11-05T12:45:18Z-
dc.date.issued2012en_US
dc.identifier.urihttp://hdl.handle.net/10419/65863-
dc.description.abstractThis 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.isoengen_US
dc.publisherUniv., Dep. of Economics, Chair VWL 1 Würzburgen_US
dc.relation.ispartofseriesWürzburg Economic Papers 89en_US
dc.subject.jelE10en_US
dc.subject.jelE43en_US
dc.subject.jelE44en_US
dc.subject.jelE52en_US
dc.subject.ddc330en_US
dc.subject.keywordEuler Interest Rateen_US
dc.subject.keywordMonetary Policyen_US
dc.subject.keywordRisk Premium Shocksen_US
dc.titleEuler equations and money market interest rates: The role of monetary and risk premium shocksen_US
dc.typeWorking Paperen_US
dc.identifier.ppn729179907en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc: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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