Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 30, 2014 erstellt
Description:
This paper presents a no-arbitrage yield-curve model that explicitly incorporates the central-bank policy rate. The model, whose estimation is based on daily euro-area data, provides evidence of the existence of sizeable monetary-policy-related risk premiums in the yield curve. It is further used to simulate forward-guidance measures. The results suggest that a credible commitment of the central bank to keep its policy rate unchanged for a given period of time can result in substantial declines in yields: a commitment to keep the policy rate at 1% over the next 2 years would imply a decline in the 5-year rate of about 25 basis points