Central bank research hub - Papers by Wolfgang Lemke
https://www.bis.org/cbhub/list/author/author_1754/index.rss
Research hub papers by author Wolfgang LemkeenTracing the impact of the ECB's asset purchase programme on the yield curve
https://www.ecb.europa.eu//pub/pdf/scpwps/ecb.wp2293~41f7613883.en.pdf
European Central Bank Working Papers by Fabian Eser, Wolfgang Lemke, Ken Nyholm, Sören Radde and Andreea Liliana VladuTracing the impact of the ECB's asset purchase programme on the yield curve2019-07-01T00:00:03ZWe trace the impact of the ECB's asset purchase programme (APP) on the sovereign yield curve. Exploiting granular information on sectoral asset holdings and ECB asset purchases, we construct a novel measure of the "free-float of duration risk" borne by price-sensitive investors. We include this supply variable in an arbitrage-free term structure model in which central bank purchases reduce the free-float of duration risk and hence compress term premia of yields. We estimate the stock of current and expected future APP holdings to reduce the 10y term premium by 95 bps. This reduction is persistent, with a half-life of five years. The expected length of the reinvestment period after APP net purchases is found to have a significant impact on term premia.Tracing the impact of the ECB's asset purchase programme on the yield curveECBFull texthttps://www.ecb.europa.eu//pub/pdf/scpwps/ecb.wp2293~41f7613883.en.pdfSören RaddeWolfgang LemkeKen NyholmAndreea Liliana VladuFabian EserFabian Eser, Wolfgang Lemke, Ken Nyholm, Sören Radde and Andreea Liliana Vladu2019-07European Central Bank Working PapersC5E43E52E58G12A macro-financial analysis of the corporate bond market
https://www.ecb.europa.eu//pub/pdf/scpwps/ecb.wp2214.en.pdf
European Central Bank Working Papers by Hans Dewachter, Leonardo Iania, Wolfgang Lemke and Marco LyrioA macro-financial analysis of the corporate bond market2018-12-01T00:00:14ZWe assess the contribution of economic and financial factors in the determination of euro area corporate bond spreads over the period 2001-2015. The proposed multi-market, no-arbitrage affine term structure model is based on the methodology proposed by Dewachter, Iania, Lyrio, and Perea (2015). We model jointly the 'risk-free curve', measured by overnight index swap (OIS) rates, and the corporate yield curves for two rating classes (A and BBB). The model includes four spanned and six unspanned factors. We find that, in general, both economic (real activity and inflation) and financial factors (proxying risk aversion, flight to liquidity and general financial market stress) play a significant role in the determination of the spanned factors and hence in the dynamics of the risk-free yield curve and corporate bond spreads. Across the risk-free OIS curve, macroeconomic and financial factors are each responsible on average for explaining 30 and 65 percent of yield varation, respectively. For A- and BBB-rated corporate debt, the selected financial variables explain on average 50 percent of the variation in corporate spreads during the last decade.A macro-financial analysis of the corporate bond marketECBFull texthttps://www.ecb.europa.eu//pub/pdf/scpwps/ecb.wp2214.en.pdfLeonardo IaniaWolfgang LemkeMarco LyrioHans DewachterHans Dewachter, Leonardo Iania, Wolfgang Lemke and Marco Lyrio2018-12European Central Bank Working PapersE43E44Dissecting long-term Bund yields in the run-up to the ECB's Public Sector Purchase Programme
https://www.ecb.europa.eu//pub/pdf/scpwps/ecb.wp2106.en.pdf
European Central Bank Working papers by Wolfgang Lemke and Thomas WernerDissecting long-term Bund yields in the run-up to the ECB's Public Sector Purchase Programme2017-10-30T12:30:23ZStarting in summer 2014, markets began to build up expectations that the European Central Bank (ECB) would embark on large-scale sovereign bond purchases. The ECB's Public Sector Purchase Programme (PSPP) was eventually announced on 22 January 2015 and purchases started in March. Both during the run-up phase to the PSPP announcement day and for the day itself, German government bond yields declined significantly. Using an aﬃne term structure model, we evidence that the yield declines are almost fully attributable to a decline in the term premium as opposed to the expectations component. This speaks in favour of the conjecture that the PSPP transmits to long-term yields mainly via a portfolio re-balancing channel rather than a (policy rate) signalling channel. The results prove robust against changing the number of factors in the model, the estimation sample and the estimation approach.Dissecting long-term Bund yields in the run-up to the ECB's Public Sector Purchase ProgrammeECBFull texthttps://www.ecb.europa.eu//pub/pdf/scpwps/ecb.wp2106.en.pdfThomas WernerWolfgang LemkeWolfgang Lemke and Thomas Werner2017-10European Central Bank Working PapersE43E52Below the zero lower bound: a shadow-rate term structure model for the euro area
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1991.en.pdf
European Central Bank Working papers by Wolfgang Lemke, Andreea Liliana VladuBelow the zero lower bound: a shadow-rate term structure model for the euro area2017-01-23T12:37:00ZBelow the zero lower bound: a shadow-rate term structure model for the euro areaECBFull texthttp://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1991.en.pdfWolfgang LemkeAndreea Liliana VladuWolfgang Lemke, Andreea Liliana Vladu2017-01-23European Central Bank Working PapersC32E43E52Below the zero lower bound - a shadow-rate term structure model for the euro area
http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2016/2016_09_02_dkp_32.pdf?__blob=publicationFile
Deutsche Bundesbank Discussion Papers by Wolfgang Lemke, Andreea L. VladuBelow the zero lower bound - a shadow-rate term structure model for the euro area2016-09-02T12:37:00ZBelow the zero lower bound - a shadow-rate term structure model for the euro areaFull texthttp://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2016/2016_09_02_dkp_32.pdf?__blob=publicationFileAndreea L. VladuWolfgang LemkeWolfgang Lemke, Andreea L. Vladu2016-09-02Deutsche Bundesbank Discussion PapersC32E43E52The changing international transmission of financial shocks: evidence from a classical time-varying FAVAR
http://www.bundesbank.de/download/volkswirtschaft/dkp/2011/201105dkp.pdf
Deutsche Bundesbank Discussion Papers by Sandra Eickmeier, Wolfgang Lemke, Massimiliano MarcellinoThe changing international transmission of financial shocks: evidence from a classical time-varying FAVAR2011-04-11T12:37:00ZThe changing international transmission of financial shocks: evidence from a classical time-varying FAVARFull texthttp://www.bundesbank.de/download/volkswirtschaft/dkp/2011/201105dkp.pdfSandra EickmeierMassimiliano MarcellinoWolfgang LemkeSandra Eickmeier, Wolfgang Lemke, Massimiliano Marcellino2011-04-11Deutsche Bundesbank Discussion PapersClassical time-varying FAVAR models - estimation, forecasting and structural analysis
http://www.bundesbank.de/download/volkswirtschaft/dkp/2011/201104dkp.pdf
Deutsche Bundesbank Discussion Papers by Sandra Eickmeier, Wolfgang Lemke, Massimiliano MarcellinoClassical time-varying FAVAR models - estimation, forecasting and structural analysis2011-04-08T12:35:59ZClassical time-varying FAVAR models - estimation, forecasting and structural analysisFull texthttp://www.bundesbank.de/download/volkswirtschaft/dkp/2011/201104dkp.pdfSandra EickmeierMassimiliano MarcellinoWolfgang LemkeSandra Eickmeier, Wolfgang Lemke, Massimiliano Marcellino2011-04-08Deutsche Bundesbank Discussion PapersPredicting recession probabilities with financial variables over multiple horizons,
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1255.pdf
European Central Bank Working papers by Fabio Fornari, Wolfgang LemkePredicting recession probabilities with financial variables over multiple horizons,2010-10-15T06:21:59ZWe forecast recession probabilities for the United States, Germany and Japan. The predictions are based on the widely-used probit approach, but the dynamics of regressors are endogenized using a VAR. The combined model is called a ¿ProbVAR¿. At any point in time, the ProbVAR allows to generate conditional recession probabilities for any sequence of forecast horizons. At the same time, the ProbVAR is as easy to implement as traditional probit regressions. The slope of the yield curve turns out to be a successful predictor, but forecasts can be markedly improved by adding other financial variables such as the short-term interest rate, stock returns or corporate bond spreads. The forecasting performance is very good for the United States: for the out-of-sample exercise (1995 to 2009), the best ProbVAR specification correctly identifies the ex-post classification of recessions and non-recessions 95% of the time for the one-quarter forecast horizon and 87% of the time for the four-quarter horizon. Moreover, the ProbVAR turns out to significantly improve upon survey forecasts. Relative to the good performance reached for the United States, the ProbVAR forecasts are slightly worse for Germany, but considerably inferior for Japan.Predicting recession probabilities with financial variables over multiple horizons,ECBFull texthttp://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1255.pdfWolfgang LemkeFabio FornariFabio Fornari, Wolfgang Lemke2010-10-14European Central Bank Working PapersThe Janus-Headed Salvation: Sovereign and Bank Credit Risk Premia during 2008-09,
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1127.pdf
European Central Bank Working papers by Jacob W. Ejsing, Wolfgang Lemke,The Janus-Headed Salvation: Sovereign and Bank Credit Risk Premia during 2008-09,2009-12-11T12:39:00Z(JEL: G15, G21) As the global banking crisis intensified in the fall of 2008, governments announced comprehensive rescue packages for financial institutions. In this paper, we put the joint response of euro area bank and sovereign CDS premia under the microscope. We find that the bank rescue packages led to a clear structural break in these premia's comovement, which had been rather tight and stable in the weeks preceding the in-tensification of the crisis. Firstly, the packages induced a decrease in risk spreads for banks at the expense of a marked increase in risk spreads for governments. Secondly, we show that in addition to this one-off jump in the levels of CDS spreads, the packages strongly increased the sensitivity of sovereign risk spreads to any further aggravation of the crisis. At the same time, the sensitivity of bank credit risk premia declined and became more sovereign-like, reflecting the extensive government guarantees of banking sector liabilities.The Janus-Headed Salvation: Sovereign and Bank Credit Risk Premia during 2008-09,ECBFull texthttp://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1127.pdfWolfgang LemkeJacob W. EjsingJacob W. Ejsing, Wolfgang Lemke,2009-12-11European Central Bank Working PapersG15G21The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1045.pdf
European Central Bank Working papers by Wolfgang Lemke, Thomas WernerThe term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics2009-04-24T17:38:00Z(JEL: E43, G12) We estimate time-varying expected excess returns on the US stock market from 1983 to 2008 using a model that jointly captures the arbitrage-free dynamics of stock returns and nominal bond yields. The model nests the class of affine term structure (of interest rates) models. Stock returns and bond yields as well as risk premia are affine functions of the state variables: the dividend yield, two factors driving the one-period real interest rate and the rate of inflation. The model provides for each month the `term structure of equity premia', i.e. expected excess stock returns over various investment horizons. Model-implied equity premia decrease during the `dot-com' boom period, show an upward correction thereafter, and reach highest levels during the financial turmoil that started with the 2007 subprime crisis. Equity premia for longer-term investment horizons are less volatile than their short-term counterparts.The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamicsECBFull texthttp://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1045.pdfWolfgang LemkeThomas WernerWolfgang Lemke, Thomas Werner2009-04-24European Central Bank Working PapersAn affine macro-finance term structure model for the euro area
http://217.110.182.54/download/volkswirtschaft/dkp/2007/200713dkp.pdf
Deutsche Bundesbank Discussion Papers by Wolfgang LemkeAn affine macro-finance term structure model for the euro area2007-06-11T17:34:00ZAn affine macro-finance term structure model for the euro areaFull texthttp://217.110.182.54/download/volkswirtschaft/dkp/2007/200713dkp.pdfWolfgang LemkeWolfgang Lemke2007-06-11Deutsche Bundesbank Discussion PapersE32E43G12Threshold dynamics of short-term interest rates: empirical evidence and implications for the term structure
http://217.110.182.54/download/volkswirtschaft/dkp/2007/200702dkp.pdf
Deutsche Bundesbank Discussion Papers by Theofanis Archontakis, Wolfgang LemkeThreshold dynamics of short-term interest rates: empirical evidence and implications for the term structure2007-03-01T12:00:00ZThreshold dynamics of short-term interest rates: empirical evidence and implications for the term structureFull texthttp://217.110.182.54/download/volkswirtschaft/dkp/2007/200702dkp.pdfWolfgang LemkeTheofanis ArchontakisTheofanis Archontakis, Wolfgang Lemke2007-02-16Deutsche Bundesbank Discussion PapersC22E43G12Bond pricing when the short term interest rate follows a threshold process
http://www.bundesbank.de/download/volkswirtschaft/dkp/2006/200606dkp.pdf
Deutsche Bundesbank Discussion Papers by Wolfgang Lemke, Theofanis ArchontakisBond pricing when the short term interest rate follows a threshold process2006-08-09T12:29:59ZBond pricing when the short term interest rate follows a threshold processFull texthttp://www.bundesbank.de/download/volkswirtschaft/dkp/2006/200606dkp.pdfWolfgang LemkeTheofanis ArchontakisWolfgang Lemke, Theofanis Archontakis2006-02-21Deutsche Bundesbank Discussion PapersMoney demand and macroeconomic uncertainty
http://www.bundesbank.de/download/volkswirtschaft/dkp/2005/200526dkp.pdf
Deutsche Bundesbank Discussion Papers by Claus Greiber, Wolfgang LemkeMoney demand and macroeconomic uncertainty2005-09-24T12:31:00ZMoney demand and macroeconomic uncertaintyFull texthttp://www.bundesbank.de/download/volkswirtschaft/dkp/2005/200526dkp.pdfWolfgang LemkeClaus GreiberClaus Greiber, Wolfgang Lemke2005-08-11Deutsche Bundesbank Discussion PapersE41M3