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dc.contributor.authorGareis, Johannesen
dc.contributor.authorMayer, Ericen
dc.date.accessioned2012-11-05-
dc.date.accessioned2012-11-05T12:45:18Z-
dc.date.available2012-11-05T12:45:18Z-
dc.date.issued2012-
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
dc.language.isoengen
dc.publisher|aUniversity of Würzburg, Department of Economics |cWürzburgen
dc.relation.ispartofseries|aW.E.P. - Würzburg Economic Papers |x89en
dc.subject.jelE10en
dc.subject.jelE43en
dc.subject.jelE44en
dc.subject.jelE52en
dc.subject.ddc330en
dc.subject.keywordEuler Interest Rateen
dc.subject.keywordMonetary Policyen
dc.subject.keywordRisk Premium Shocksen
dc.titleEuler equations and money market interest rates: The role of monetary and risk premium shocks-
dc.typeWorking Paperen
dc.identifier.ppn729179907en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:wuewep:89en

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