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	Provedor de dados AgEcon (1) Autor Fendel, Ralf (1) Palavra-chave Affine term structure models (1) E43 (1) E58 (1) Financial Economics (1) G12 (1) Kalman filter (1) Monetary policy rules (1) Mais... Tipo do documento Journal Article (1) Ano 2008 (1) País United States (1) Idioma Inglês (1)		Ordenar por:  Relevância Autor Título Ano Registros recuperados: 1 Primeira ... 1 ... Última A Joint Characterization of German Monetary Policy and the Dynamics of the German Term Structure of Interest Rates AgEcon Fendel, Ralf. The paper develops an empirical no-arbitrage Gaussian affine term structure model to explain the dynamics of the German term structure of interest rates. In contrast to most affine term structure models two risk factors are linked to observable macroeconomics factors: output and inflation. The results 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 that closely resembles empirical reaction functions that are based on the dynamics of the short rate only. Tipo: Journal Article Palavras-chave: Affine term structure models; Monetary policy rules; Kalman filter; Financial Economics; E43; E58; G12. Ano: 2008 URL: http://purl.umn.edu/50005 Registros recuperados: 1 Primeira ... 1 ... Última

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