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| Tekijä: | Dewachter, H. Lyrio, M. Maes, K. |
| Otsikko: | The effect of monetary unification on German bond markets |
| Lehti: | European Financial Management
2004 : SEP, VOL. 10:3, p. 487-509 |
| Asiasana: | Bond markets European Central Bank Monetary integration Term structure of interest rates Germany |
| Kieli: | eng |
| Tiivistelmä: | A benchmark is developed against which the effects of ECB monetary policy on the German bond market can be evaluated. An affine term structure model is estimated for the pre-EMU period linking the German yield curve with the Bundesbank monetary policy. After that, the German monetary policy and its implied yield curve are reprojected onto the EMU period. The reprojected yield curve differs significantly from the observed one. |
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