Narrow search
Showing 1 - 10 of 111
Cover Image
Monetary policy uncertainty and the response of the yield curve to policy shocks
Tillmann, Peter - 2017
This paper studies the non-linear response of the term structure of interest rates to monetary policy shocks. We show that uncertainty about monetary policy changes the way the term structure responds to monetary policy. A policy tightening leads to a significantly smaller increase in long-term...
Persistent link: https://www.econbiz.de/10011661992
Cover Image
Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates
Tillmann, Peter - 2003
To date the cointegrating properties and the regime-switching behavior of the term structure are two separate strands of the literature. This paper integrates these lines of research and introduces regime shifts into a cointegrated VAR model. We argue that the short run dynamics of the...
Persistent link: https://www.econbiz.de/10010263095
Cover Image
Financial markets and dissent in the ECB's governing council
Tillmann, Peter - 2020
The decision-making process in the ECB's Governing Council remains opaque as the ECB, in contrast to many other central banks, does not publish the votes for or against a policy proposal. In this paper, we construct an index of dissent based on the ECB presidents' answers to journalists'...
Persistent link: https://www.econbiz.de/10012543060
Cover Image
Cointegration and regime-switching risk premia in the U:S: term structure of interest rates
Tillmann, Peter (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001984469
Cover Image
Inflation Targeting, Credibility, and Non-Linear Taylor Rules
Neuenkirch, Matthias; Tillmann, Peter - Volkswirtschaft Abteilung, Fachbereich … - 2012
In this paper we systematically evaluate how central banks respond to deviations from the inflation target. We present … a stylized New Keynesian model in which agents' inflation expectations are sensitive to deviations from the inflation … inflation exceeded the target in the past. Moreover, the central bank responds non-linearly to past inflation gaps. This is …
Persistent link: https://www.econbiz.de/10010692011
Cover Image
Inflation targeting, credibility, and non-linear Taylor rules
Neuenkirch, Matthias; Tillmann, Peter - In: Journal of International Money and Finance 41 (2014) C, pp. 30-45
In this paper we systematically evaluate how central banks respond to deviations from the inflation target. We present … a stylized New Keynesian model in which agents' inflation expectations are sensitive to deviations from the inflation … inflation exceeded the target in the past. Moreover, the central bank responds non-linearly to past inflation gaps. This is …
Persistent link: https://www.econbiz.de/10011048528
Cover Image
Inflation targeting, credibility and non-linear Taylor rules
Neuenkirch, Matthias; Tillmann, Peter - 2012
In this paper we systematically evaluate how central banks respond to inflation deviations from target. We present a … stylized New Keynesian model in which agents' inflation expectations are sensitive to inflation deviations from target. To (re …-)establish credibility, optimal monetary policy under discretion is shown to set higher interest rates today if average inflation exceeded …
Persistent link: https://www.econbiz.de/10010294449
Cover Image
Inflation targeting, credibility and non-linear Taylor rules
Neuenkirch, Matthias; Tillmann, Peter - 2012
In this paper we systematically evaluate how central banks respond to inflation deviations from target. We present a … stylized New Keynesian model in which agents' inflation expectations are sensitive to inflation deviations from target. To (re …-)establish credibility, optimal monetary policy under discretion is shown to set higher interest rates today if average inflation exceeded …
Persistent link: https://www.econbiz.de/10009564263
Cover Image
Inflation Targeting, Credibility, and Non-Linear Taylor Rules
Neuenkirch, Matthias; Tillmann, Peter - 2013
In this paper we systematically evaluate how central banks respond to deviations from the inflation target. We present … a stylized New Keynesian model in which agents' inflation expectations are sensitive to deviations from the inflation … inflation exceeded the target in the past. Moreover, the central bank responds non-linearly to past inflation gaps. This is …
Persistent link: https://www.econbiz.de/10014167788
Cover Image
Monetary policy uncertainty and the response of the yield curve to policy shocks
Tillmann, Peter - 2017
This paper studies the non-linear response of the term structure of interest rates to monetary policy shocks. We show that uncertainty about monetary policy changes the way the term structure responds to monetary policy. A policy tightening leads to a significantly smaller increase in long-term...
Persistent link: https://www.econbiz.de/10011787816