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DublinCore-FeldWertSprache
dc.contributor.authorFendel, Ralfen
dc.date.accessioned2009-01-28T15:58:56Z-
dc.date.available2009-01-28T15:58:56Z-
dc.date.issued2004-
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
dc.language.isoengen
dc.publisher|aDeutsche Bundesbank |cFrankfurt a. M.en
dc.relation.ispartofseries|aDiscussion Paper Series 1 |x2004,24en
dc.subject.jelE58en
dc.subject.jelE43en
dc.subject.jelG12en
dc.subject.ddc330en
dc.subject.keywordaffine term structure modelsen
dc.subject.keywordmonetary policy rulesen
dc.subject.keywordKalman filteren
dc.subject.stwZinsstrukturtheorieen
dc.subject.stwZinsstrukturen
dc.subject.stwVolatilitäten
dc.subject.stwGeldpolitiken
dc.subject.stwRegelgebundene Politiken
dc.subject.stwReaktionsfunktionen
dc.subject.stwSchätzungen
dc.subject.stwDeutschlanden
dc.titleTowards a Joint Characterization of Monetary Policy and the Dynamics of the Term Structure of Interest Rates-
dc.typeWorking Paperen
dc.identifier.ppn396201210en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bubdp1:2290en

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