Wolfgang Lemke

European Central Bank

Economist

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 47,915

SSRN RANKINGS

Top 47,915

in Total Papers Downloads

841

SSRN CITATIONS
Rank 7,495

SSRN RANKINGS

Top 7,495

in Total Papers Citations

5

CROSSREF CITATIONS

124

Scholarly Papers (15)

1.

Predicting Recession Probabilities with Financial Variables Over Multiple Horizons

ECB Working Paper No. 1255
Number of pages: 62 Posted: 17 Oct 2010
Fabio Fornari and Wolfgang Lemke
European Central Bank (ECB) and European Central Bank
Downloads 139 (207,846)

Abstract:

Loading...

Recessions, forecasting, probit, VAR

Below the Zero Lower Bound: A Shadow-Rate Term Structure Model for the Euro Area

Bundesbank Discussion Paper No. 32/2016
Number of pages: 50 Posted: 05 Oct 2016
Wolfgang Lemke and Andreea Vladu
European Central Bank and Deutsche Bundesbank
Downloads 89 (288,070)

Abstract:

Loading...

term structure of interest rates, lower bound, nonlinear state-space model, monetary policy expectations

Below the Zero Lower Bound: A Shadow-Rate Term Structure Model for the Euro Area

ECB Working Paper No. 1991
Number of pages: 51 Posted: 03 Feb 2017
Wolfgang Lemke and Andreea Vladu
European Central Bank and Deutsche Bundesbank
Downloads 44 (417,196)

Abstract:

Loading...

term structure of interest rates, lower bound, nonlinear state space model, monetary policy expectations

3.

The Term Structure of Equity Premia in an Affine Arbitrage-Free Model of Bond and Stock Market Dynamics

ECB Working Paper No. 1045
Number of pages: 47 Posted: 25 Apr 2009
Wolfgang Lemke and Thomas Werner
European Central Bank and European Central Bank (ECB)
Downloads 116 (238,889)
Citation 2

Abstract:

Loading...

equity premium, affine term structure models, asset pricing

4.

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

ECB Working Paper No. 1127
Number of pages: 34 Posted: 09 Dec 2009
Jacob Ejsing and Wolfgang Lemke
European Central Bank (ECB) and European Central Bank
Downloads 97 (270,343)
Citation 2

Abstract:

Loading...

Financial crisis, risk transfer, credit default swaps

Classical Time-Varying FAVAR Models - Estimation, Forecasting and Structural Analysis

Bundesbank Series 1 Discussion Paper No. 2011,04
Number of pages: 68 Posted: 08 Jun 2016
Deutsche Bundesbank, European Central Bank and European University Institute
Downloads 86 (294,524)

Abstract:

Loading...

FAVAR, time-varying parameters, monetary transmission, forecasting

Classical Time-Varying FAVAR Models - Estimation, Forecasting and Structural Analysis

CEPR Discussion Paper No. DP8321
Number of pages: 53 Posted: 18 Apr 2011
Deutsche Bundesbank, European Central Bank and European University Institute
Downloads 5 (642,694)
  • Add to Cart

Abstract:

Loading...

FAVAR, forecasting, monetary transmission, time-varying parameters

A Macro-Financial Analysis of the Corporate Bond Market

Number of pages: 27 Posted: 19 Jun 2018
Catholic University of Leuven (KUL) - Department of Economics, UCLouvain (University), European Central Bank and Insper Institute of Education and Research
Downloads 56 (374,453)

Abstract:

Loading...

Corporate Bonds, Term Structure of Interest Rates, Macro Finance

A Macro-financial Analysis of the Corporate Bond Market

ECB Working Paper No. 2214
Number of pages: 32 Posted: 12 Dec 2018
Catholic University of Leuven (KUL) - Department of Economics, UCLouvain (University), European Central Bank and Insper Institute of Education and Research
Downloads 32 (469,465)

Abstract:

Loading...

euro area corporate bonds, yield spread decomposition, unspanned macro factors

The Changing International Transmission of Financial Shocks: Evidence from a Classical Time-Varying FAVAR

Bundesbank Series 1 Discussion Paper No. 2011,05
Number of pages: 64 Posted: 08 Jun 2016
Deutsche Bundesbank, European Central Bank and European University Institute
Downloads 75 (320,148)

Abstract:

Loading...

international business cycles, international transmission channels, financial markets, globalization, financial conditions index, global financial crisis, timevarying FAVAR

The Changing International Transmission of Financial Shocks: Evidence from a Classical Time-Varying FAVAR

CEPR Discussion Paper No. DP8341
Number of pages: 48 Posted: 20 Apr 2011
Deutsche Bundesbank, European Central Bank and European University Institute
Downloads 4 (650,433)
  • Add to Cart

Abstract:

Loading...

financial conditions index, financial markets, global financial crisis, globalization, International business cycles, international transmission channels, time-varying FAVAR

8.

Dissecting Long-Term Bund Yields in the Run-Up to the ECB's Public Sector Purchase Programme

ECB Working Paper No. 2106; ISBN: 978-92-899-2828-1
Number of pages: 19 Posted: 06 Nov 2017
Wolfgang Lemke and Thomas Werner
European Central Bank and European Central Bank (ECB)
Downloads 41 (420,506)

Abstract:

Loading...

term structure of interest rates, large-scale asset purchases, term premia

9.

Bond Pricing When the Short Term Interest Rate Follows a Threshold Process

Bundesbank Series 1 Discussion Paper No. 2006,06
Number of pages: 40 Posted: 08 Jun 2016
Wolfgang Lemke and Theofanis Archontakis
European Central Bank and Union PanAgora Asset Management
Downloads 15 (551,372)

Abstract:

Loading...

Threshold process, term structure of interest rates, nonlinear yield function

10.

Money Demand and Macroeconomic Uncertainty

Bundesbank Series 1 Discussion Paper No. 2005,26
Number of pages: 53 Posted: 08 Jun 2016
Wolfgang Lemke and Claus Greiber
European Central Bank and Deutsche Bundesbank
Downloads 12 (569,900)
Citation 1

Abstract:

Loading...

Money demand, Macroeconomic Uncertainty, Excess Liquidity

11.

An Affine Macro-Finance Term Structure Model for the Euro Area

Bundesbank Series 1 Discussion Paper No. 2007,13
Number of pages: 60 Posted: 08 Jun 2016
Wolfgang Lemke
European Central Bank
Downloads 11 (576,065)

Abstract:

Loading...

affine term structure models, monetary policy, euro area

12.

Threshold Dynmamics of Short-Term Interest Rates: Empirical Evidence and Implications for the Term Structure

Bundesbank Series 1 Discussion Paper No. 2007,02
Number of pages: 56 Posted: 08 Jun 2016
Theofanis Archontakis and Wolfgang Lemke
Union PanAgora Asset Management and European Central Bank
Downloads 10 (582,403)

Abstract:

Loading...

Non-affine term structure models, SETAR models, Asset pricing

13.

Tracing the Impact of the ECB’s Asset Purchase Programme on the Yield Curve

ECB Working Paper No. 2293 (2019); ISBN 978-92-899-3555-5
Number of pages: 57 Posted: 09 Jul 2019
European Central Bank (ECB), European Central Bank, European Central Bank (ECB), Goldman Sachs - Goldman Sachs and Deutsche Bundesbank
Downloads 7 (601,705)

Abstract:

Loading...

term structure of interest rates, term premia, central bank asset purchases, non-standard monetary policy measures, European Central Bank

14.

Threshold Dynamics of Short-Term Interest Rates: Empirical Evidence and Implications for the Term Structure

Economic Notes, Vol. 37, Issue 1, pp. 75-117, February 2008
Number of pages: 43 Posted: 24 Apr 2008
Theofanis Archontakis and Wolfgang Lemke
Union PanAgora Asset Management and European Central Bank
Downloads 2 (639,740)
  • Add to Cart

Abstract:

Loading...

15.

How Useful is the Concept of the Natural Real Rate of Interest for Monetary Policy?

Cambridge Journal of Economics, Vol. 32, Issue 1, pp. 49-63, 2008
Posted: 20 Jun 2008
Axel A. Weber, Wolfgang Lemke and Andreas Worms
University of Cologne - Department of Economics, European Central Bank and Deutsche Bundesbank, Economics Department

Abstract:

Loading...

Natural real rate of interest, Monetary policy, Wicksell

Other Papers (1)

Total Downloads: 5
1.

Bond Pricing and Basis Risk When the Short Term Interest Rate Follows a Threshold Process

Number of pages: 26 Posted: 16 Mar 2006
Wolfgang Lemke and Theofanis Archontakis
European Central Bank and Union PanAgora Asset Management
Downloads 5

Abstract:

Loading...

threshold process, term structure of interest rates, nonlinear yield function, interest rate risk