Towards a joint characterization of monetary policy and the dynamics of the term structure of interest rates /

• Main Author: Fendel, Ralf
• Format: Book
• Language: English
• Published: Frankfurt am Main : Deutsche Bundesbank, 2004
• Series: Discussion paper (Deutsche Bundesbank) Series 1: Studies of the Economic Research Centre no. 24/2004
• Subjects: POLITICA MONETARIA > 1979-1998; MODELOS ECONOMETRICOS; TIPO DE INTERES; ALEMANIA
• Online Access: http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2004/2004_09_07_dkp_24.pdf?__blob=publicationFile

Table of Contents:

• 1. Introduction
• 2. An arbitrage-free perspective of the term structure of interest rates
• 3. A general affine term structure model in discrete time
• 4. A Gaussian model for the german term structure od interest rates
• 5. The monetary policy view of the short rate dynamics
• 6. Estimation procedure and results
• 7. Conclusions
• References
• Appendix 1: recursive restrictions
• 2. derivation of the term premia
• 3. the Kalman filter.