Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/209142
Authors: 
Kliem, Martin
Meyer-Gohde, Alexander
Year of Publication: 
2019
Series/Report no.: 
IMFS Working Paper Series 137
Abstract: 
The term structure of interest rates is crucial for the transmission of monetary policy to financial markets and the macroeconomy. Disentangling the impact of monetary policy on the components of interest rates, expected short rates and term premia, is essential to understanding this channel. To accomplish this, we provide a quantitative structural model with endogenous, time-varying term premia that are consistent with empirical findings. News about future policy, in contrast to unexpected policy shocks, has quantitatively significant effects on term premia along the entire term structure. This provides a plausible explanation for partly contradictory estimates in the empirical literature.
Subjects: 
DSGE model
Bayesian estimation
Time-varying risk premia
Monetary policy
JEL: 
E13
E31
E43
E44
E52
Document Type: 
Working Paper

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