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Autoren: 
Gareis, Johannes
Mayer, Eric
Datum: 
2012
Schriftenreihe/Nr.: 
W.E.P. - Würzburg Economic Papers No. 89
Zusammenfassung: 
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.
Schlagwörter: 
Euler Interest Rate
Monetary Policy
Risk Premium Shocks
JEL: 
E10
E43
E44
E52
Dokumentart: 
Working Paper

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