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(Un)expected Monetary Policy Shocks and Term Premia

  • Series
  • Speaker(s)
    Alexander Meyer-Gohde (Goethe University Frankfurt, Germany)
  • Field
  • Location
    UvA - B-building, Roetersstraat 11, Room: B2.08
  • Date and time

    March 29, 2019
    16:00 - 17:15

The term structure of interest rates is crucial for the transmission of monetary
policy to nancial 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 ndings.
News about future policy, in contrast to unexpected policy shocks,
has quantitatively signicant eects on term premia along the entire term
structure. This provides a plausible explanation for partly contradictory
estimates in the empirical literature. Joint with Martin Kliem.

JEL: E13, E31, E43, E44, E52
Keywords: DSGE model, Bayesian estimation, Time-varying risk premia,
Monetary policy