Wolfgang Lemke - Central Bank Research Hub

Papers by year: All | 2011 | 2010 | 2009 | 2007 | 2006 | 2005

Title Other author(s)

The changing international transmission of financial shocks: evidence from a classical time-varying FAVAR

Deutsche Bundesbank Discussion Papers [View] (Paper: 201105, 11.04.2011)

Classical time-varying FAVAR models - estimation, forecasting and structural analysis

Deutsche Bundesbank Discussion Papers [View] (Paper: 201104, 08.04.2011)

Predicting recession probabilities with financial variables over multiple horizons,

European Central Bank Working papers [View] (Paper: 1255, 15.10.2010)

The Janus-Headed Salvation: Sovereign and Bank Credit Risk Premia during 2008-09,

European Central Bank Working papers [View] (Paper: 1127, 11.12.2009)

JEL: G15, G21

The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics

European Central Bank Working papers [View] (Paper: 1045, 24.04.2009)

An affine macro-finance term structure model for the euro area

Deutsche Bundesbank Discussion Papers [View] (Paper: 200713, 11.06.2007)

JEL: E32, E43, G12

Threshold dynamics of short-term interest rates: empirical evidence and implications for the term structure

Deutsche Bundesbank Discussion Papers [View] (Paper: 200702, 01.03.2007)

JEL: C22, E43, G12

Bond pricing when the short term interest rate follows a threshold process

Deutsche Bundesbank Discussion Papers [View] (Paper: 200606, 09.08.2006)

Money demand and macroeconomic uncertainty

Deutsche Bundesbank Discussion Papers [View] (Paper: 200526, 24.09.2005)

JEL: E41, M3

Papers by year: All | 2011 | 2010 | 2009 | 2007 | 2006 | 2005