Wolfgang Lemke

European Central Bank

Economist

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

SCHOLARLY PAPERS

19

DOWNLOADS
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2,271

SSRN CITATIONS
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SSRN RANKINGS

Top 7,493

in Total Papers Citations

56

CROSSREF CITATIONS

118

Scholarly Papers (19)

1.

A Tale of Two Decades: The Ecb's Monetary Policy at 20

ECB Working Paper No. 20192346
Number of pages: 339 Posted: 08 Jan 2020 Last Revised: 18 Nov 2021
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank, European Central Bank (ECB), European Central Bank (ECB) and Independent
Downloads 392 (105,273)
Citation 11

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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 166 (245,984)
Citation 11

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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 73 (437,637)

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

3.

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 215 (195,593)
Citation 15

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

4.

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 212 (198,170)
Citation 6

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Recessions, forecasting, probit, VAR

5.
Downloads 160 (253,394)
Citation 2

Natural Rate Chimera and Bond Pricing Reality

ECB Working Paper No. 2021/2612
Number of pages: 40 Posted: 19 Nov 2021
Claus Brand, Gavin Goy and Wolfgang Lemke
European Central Bank (ECB), De Nederlandsche Bank and European Central Bank
Downloads 89 (389,071)

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arbitrage-free Nelson-Siegel term structure model, Bayesian estimation, equilibrium real rate, natural rate of interest, r*, term premia, unobserved components

Natural Rate Chimera and Bond Pricing Reality

De Nederlandsche Bank Working Paper No. 666, January 2020
Number of pages: 47 Posted: 04 Feb 2020
Claus Brand, Gavin Goy and Wolfgang Lemke
European Central Bank (ECB), De Nederlandsche Bank and European Central Bank
Downloads 71 (444,464)
Citation 2

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natural rate of interest, r, equilibrium real rate, arbitrage-free Nelson-Siegel term structure model, term premia, unobserved components, Bayesian estimation

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 Bocconi University - Department of Economics
Downloads 146 (273,797)
Citation 3

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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 Bocconi University - Department of Economics
Downloads 5 (859,285)
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FAVAR, forecasting, monetary transmission, time-varying parameters

7.

Assessing the Efficacy, Efficiency and Potential Side Effects of the ECB's Monetary Policy Instruments Since 2014

ECB Occasional Paper No. 2021/278
Number of pages: 68 Posted: 22 Sep 2021 Last Revised: 18 Jan 2022
European Central Bank (ECB), European Central Bank, European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 143 (277,453)

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monetary policy instruments, standard and non-standard measures

8.

Combining Negative Rates, Forward Guidance and Asset Purchases: Identification and Impacts of the ECB's Unconventional Policies

ECB Working Paper No. 2021/2564
Number of pages: 64 Posted: 03 Jun 2021
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 137 (286,817)
Citation 1

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9.

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 131 (296,705)
Citation 4

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equity premium, affine term structure models, asset pricing

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, Université catholique de Louvain, European Central Bank and Insper Institute of Education and Research
Downloads 73 (437,637)

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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, Université catholique de Louvain, European Central Bank and Insper Institute of Education and Research
Downloads 55 (505,820)
Citation 1

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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 Bocconi University - Department of Economics
Downloads 116 (325,910)

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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 Bocconi University - Department of Economics
Downloads 4 (870,440)
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financial conditions index, financial markets, global financial crisis, globalization, International business cycles, international transmission channels, time-varying FAVAR

12.

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 108 (340,577)
Citation 4

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Financial crisis, risk transfer, credit default swaps

13.

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 52 (510,199)
Citation 4

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

14.

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 25 (655,838)

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affine term structure models, monetary policy, euro area

15.

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
European Central Bank and Goethe University FrankfurtUnion PanAgora Asset Management
Downloads 20 (692,957)

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

16.

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
Goethe University FrankfurtUnion PanAgora Asset Management and European Central Bank
Downloads 19 (700,653)

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

17.

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 17 (716,599)
Citation 4

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Money demand, Macroeconomic Uncertainty, Excess Liquidity

18.

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
Goethe University FrankfurtUnion PanAgora Asset Management and European Central Bank
Downloads 2 (859,413)

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19.

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

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Natural real rate of interest, Monetary policy, Wicksell

Other Papers (2)

Total Downloads: 10
1.

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

Number of pages: 26 Posted: 16 Mar 2006
European Central Bank and Goethe University FrankfurtUnion PanAgora Asset Management
Downloads 8

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

2.

Information in the Corporate and Term Spreads: A Macro-Financial Approach

Number of pages: 52 Posted: 03 Sep 2012
Université catholique de Louvain, Catholic University of Leuven (KUL) - Department of Economics, European Central Bank and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 2

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