Wolfgang Lemke Livres

We propose an arbitrage-free shadow-rate term structure model to analyze the euro-area yield curve from 1999 to mid-2015, when bond yields turned negative at various maturities. In the model the 'shadow rate' can reach any positive or negative level, while the actual one-month rate cannot fall below some lower bound perceived by market participants. This bound is estimated to have first ranged marginally above zero, before falling to -11 bps in September 2014. We show analytically that the lower bound itself can be interpreted as a 'policy parameter' and interpret the September 2014 ECB rate cut from this perspective. Our model improves upon a standard Gaussian affine model by providing a better match with survey forecasts of short-term rates during the low-rate period and by capturing the decline in yield volatility. The model implies that since mid-2012, the median horizon after which future short rates are expected to return to 25 bps has ranged between 18 and 62 months. However, the liftoff timing, as well as the quantification of forward premia, is highly sensitive to the level of the lower bound.

A joint model of macroeconomic and term structure dynamics is specified and estimated for the euro area. The model comprises a backward-looking Phillips curve, a dynamic IS equation, a monetary policy rule as well as a specification of the dynamics of trend growth and the natural real interest rate. Under the condition of no arbitrage, yields of all maturities are affine functions of the macroeconomic driving forces. With the exception of a shock to potential output growth, the response of short-term yields to macroeconomic shocks is generally stronger than that of long-term yields. Impulse responses of all bond yields are fairly persistent, which reflects the persistence of their macroeconomic driving forces. Across the whole maturity spectrum, about ninety percent of the variationin yields is explained jointly by monetary policy shocks and shocks to the natural real rate of interest; the relative contribution of the latter shock increases with time to maturity. Cost-push shocks explain at most eight percent, while shocks to the output gap play an even less important role.

This book has been prepared during my work as a research assistant at the Institute for Statistics and Econometrics of the Economics Department at the University of Bielefeld, Germany. It was accepted as a Ph.D. thesis titled "Term Structure Modeling and Estimation in a State Space Framework" at the Department of Economics of the University of Bielefeld in November 2004. It is a pleasure for me to thank all those people who have been helpful in one way or another during the completion of this work. First of all, I would like to express my gratitude to my advisor Professor Joachim Frohn, not only for his guidance and advice throughout the com­ pletion of my thesis but also for letting me have four very enjoyable years teaching and researching at the Institute for Statistics and Econometrics. I am also grateful to my second advisor Professor Willi Semmler. The project I worked on in one of his seminars in 1999 can really be seen as a starting point for my research on state space models. I thank Professor Thomas Braun for joining the committee for my oral examination.

- vermittelt den Lernstoff nach dem folgendem Prinzip: Problemstellung – Lösung in grafischer Übersicht – weitere Musterfälle – Übungen - gemäß den neuesten Änderungen überarbeitet - mit zahlreichen grafischen Übersichten, Musterfällen mit Lösungen sowie vielen Übungen

- erarbeitet gezielt die Bestimmungen der Bilanzierung und die Bewertung nach Handels- und Steuerrecht - mit zahlreichen grafischen Übersichten, Beispielen und Übungsfällen mit Lösungen - auch als Prüfungsvorbereitung (Steuerfachassistentin/Steuerfachwirt) geeignet