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2017-07-17Diskussionpapier DOI: 10.18452/18717
(Un)expected Monetary Policy Shocks and Term Premia
dc.contributor.authorKliem, Martin
dc.contributor.authorMeyer-Gohde, Alexander
dc.date.accessioned2018-01-15T15:26:01Z
dc.date.available2018-01-15T15:26:01Z
dc.date.issued2017-07-17
dc.identifier.urihttp://edoc.hu-berlin.de/18452/19428
dc.description.abstractWe analyze an estimated stochastic general equilibrium model that replicates key macroeconomic and financial stylized facts during the Great Moderation of 1983-2007. Our model predicts a sizeable and volatile nominal term premium - comparable to recent reduced-form empirical estimates - with real risk two times more important than inflation risk for the average nominal term premia. The model enables us to address salient questions about the effects of monetary policy on the term structure of interest rates. We fi nd that monetary policy shocks can have differing effects on risk premia. Actions by the monetary authority with a persistent effect on households' expectations have substantial effects on nominal and real risk premia. Our model rationalizes many of the opposing findings on the effects of monetary policy on term premia in the empirical literature.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin
dc.subjectDSGE modeleng
dc.subjectBayesian estimationeng
dc.subjectTerm structureeng
dc.subjectMonetary policyeng
dc.subject.ddc330 Wirtschaft
dc.title(Un)expected Monetary Policy Shocks and Term Premia
dc.typeworkingPaper
dc.identifier.urnurn:nbn:de:kobv:11-110-18452/19428-1
dc.identifier.doihttp://dx.doi.org/10.18452/18717
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages59
local.edoc.type-nameDiskussionpapier
local.edoc.institutionWirtschaftswissenschaftliche Fakultät
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2017
local.edoc.container-issue15
local.edoc.container-erstkatid2195055-6

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