Wolfgang Lemke : Citation Profile


Are you Wolfgang Lemke?

European Central Bank

9

H index

9

i10 index

379

Citations

RESEARCH PRODUCTION:

9

Articles

24

Papers

1

Books

RESEARCH ACTIVITY:

   15 years (2005 - 2020). See details.
   Cites by year: 25
   Journals where Wolfgang Lemke has often published
   Relations with other researchers
   Recent citing documents: 65.    Total self citations: 10 (2.57 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ple433
   Updated: 2020-10-24    RAS profile: 2020-03-24    
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Relations with other researchers


Works with:

Lyrio, Marco (3)

Dewachter, Hans (3)

Eickmeier, Sandra (2)

Marcellino, Massimiliano (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Wolfgang Lemke.

Is cited by:

Eickmeier, Sandra (14)

Marcellino, Massimiliano (8)

Sosvilla-Rivero, Simon (6)

Aastveit, Knut Are (6)

Wolff, Guntram (6)

Osterloh, Steffen (6)

Gómez-Puig, Marta (6)

Ng, Tim (6)

Krippner, Leo (6)

Bjørnland, Hilde (5)

Peltonen, Tuomas (5)

Cites to:

Gali, Jordi (20)

Gertler, Mark (18)

Singleton, Kenneth (16)

Smets, Frank (16)

Altavilla, Carlo (15)

Williams, John (15)

Clarida, Richard (14)

Gürkaynak, Refet (14)

Watson, Mark (14)

Rudebusch, Glenn (13)

Giannone, Domenico (13)

Main data


Where Wolfgang Lemke has published?


Working Papers Series with more than one paper published# docs
Working Paper Series / European Central Bank8
Discussion Paper Series 1: Economic Studies / Deutsche Bundesbank6

Recent works citing Wolfgang Lemke (2020 and 2019)


YearTitle of citing document
2019Quantitative Easing and the Term Premium as a Monetary Policy Instrument. (2019). Vaccaro-Grange, Etienne. In: AMSE Working Papers. RePEc:aim:wpaimx:1932.

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2020A Term Structure Model for Dividends and Interest Rates. (2019). Willems, Sander ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1803.02249.

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2019Boosting High Dimensional Predictive Regressions with Time Varying Parameters. (2019). Ng, Serena ; Yousuf, Kashif. In: Papers. RePEc:arx:papers:1910.03109.

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2019Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity-Based Identification in a Model with Regimes. (2019). Guidolin, Massimo ; Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp19118.

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2020The ECB monetary policy response to the Covid-19 crisis. (2020). Thomas, Carlos ; Nuo, Galo ; Martinez-Martin, Jaime ; Hurtado, Samuel ; Arce, Oscar ; Aguilar, Pablo. In: Occasional Papers. RePEc:bde:opaper:2026.

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2020Macro-financial interactions in a changing world. (2020). Leiva-Leon, Danilo ; Gerba, Eddie. In: Working Papers. RePEc:bde:wpaper:2018.

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2020Expansionary yet different: credit supply and real effects of negative interest rate policy. (2020). Sette, Enrico ; Bottero, Margherita. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1269_20.

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2020The economic drivers of volatility and uncertainty. (2020). Marcellino, Massimiliano ; Corsello, Francesco ; Carriero, Andrea. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1285_20.

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2019Evaluating the macroeconomic effects of the ECB’s unconventional monetary policies. (2019). Sahuc, Jean-Guillaume ; Mouabbi, Sarah. In: Working papers. RePEc:bfr:banfra:708.

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2019The FR-BDF Model and an Assessment of Monetary Policy Transmission in France. (2019). Aldama, Pierre ; Turunen, Harri ; Chahad, Mohammed ; Lepetit, Antoine ; Clerc, Pierrick ; Laffargue, Jean-Pierre ; Lemoine, Matthieu ; Zhutova, Anastasia. In: Working papers. RePEc:bfr:banfra:736.

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2019Identifying and Estimating the Effects of Unconventional Monetary Policy in the Data: How to Do It and What Have We Learned?. (2019). Rossi, Barbara. In: Working Papers. RePEc:bge:wpaper:1081.

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2019Negative Monetary Policy Rates and Portfolio Rebalancing: Evidence from Credit Register Data. (2019). Presbitero, Andrea ; Peydro, Jose-Luis ; Sette, Enrico ; Polo, Andrea ; Minoiu, Camelia ; Bottero, Margherita. In: Working Papers. RePEc:bge:wpaper:1090.

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2019Do zero and sign restricted SVARs identify unconventional monetary policy shocks in the euro area?. (2019). Ji, Kan ; Elbourne, Adam. In: CPB Discussion Paper. RePEc:cpb:discus:391.

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2019Do zero and sign restricted SVARs identify unconventional monetary policy shocks in the euro area?. (2019). Ji, Kan ; Elbourne, Adam. In: CPB Discussion Paper. RePEc:cpb:discus:391.rdf.

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2019Identifying and Estimating the Effects of Unconventional Monetary Policy: How to Do It And What Have We Learned?. (2019). Rossi, Barbara. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14064.

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2020Drawing Conclusions from Structural Vector Autoregressions Identified on the Basis of Sign Restrictions. (2020). Hamilton, James ; Baumeister, Christiane. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14271.

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2019The impact of size, composition and duration of the central bank balance sheet on inflation expectations and market prices. (2019). End, Jan Willem ; van den End, Jan Willem ; Titzck, Stephanie. In: DNB Working Papers. RePEc:dnb:dnbwpp:627.

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2020A Structural Investigation of Quantitative Easing. (2020). Strobel, Felix ; Goy, Gavin ; Boehl, Gregor. In: DNB Working Papers. RePEc:dnb:dnbwpp:691.

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2020Monetary Policy Transmission with Downward Interest Rate Rigidity. (2020). Sahuc, Jean-Guillaume ; Levieuge, Gregory. In: EconomiX Working Papers. RePEc:drm:wpaper:2020-6.

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2019Detecting turning points in global economic activity. (2019). Seitz, Franz ; Salvador, Ramon Gomez ; Baumann, Ursel. In: Working Paper Series. RePEc:ecb:ecbwps:20192310.

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2020Monetary policy and bank stability: the analytical toolbox reviewed. (2020). Popov, Alexander ; Marques-Ibanez, David ; Albertazzi, Ugo ; Barbiero, Francesca ; Marques-Ibaez, David ; Dacri, Costanza Rodriguez ; Vlassopoulos, Thomas . In: Working Paper Series. RePEc:ecb:ecbwps:20202377.

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2020The Phillips Curve at the ECB. (2020). Osbat, Chiara ; Eser, Fabian ; Moretti, Laura ; Lane, Philip R ; Karadi, Peter. In: Working Paper Series. RePEc:ecb:ecbwps:20202400.

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2020Interest rate setting and communication at the ECB. (2020). Jung, Alexander ; Cour-Thimann, Philippine. In: Working Paper Series. RePEc:ecb:ecbwps:20202443.

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2020The (ir)relevance of the nominal lower bound for real yield curve analysis. (2020). Schupp, Fabian. In: Working Paper Series. RePEc:ecb:ecbwps:20202476.

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2020Hard markets, hard times: On the inefficiency of the CAT bond market. (2020). Gurtler, Marc ; Gotze, Tobias. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s092911991930937x.

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2020Monetary policy and systemic risk-taking in the euro area banking sector. (2020). Kabundi, Alain ; de Simone, Francisco Nadal . In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:736-758.

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2019The sovereign-bank nexus in peripheral euro area: Further evidence from contingent claims analysis. (2019). Sosvilla-Rivero, Simon ; Gómez-Puig, Marta ; Gomez-Puig, Marta ; Singh, Manish K. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:49:y:2019:i:c:p:1-26.

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2020The relation between the corporate bond-yield spread and the real economy: Stable or time-varying?. (2020). Österholm, Pär ; Karlsson, Sune ; Osterholm, Par. In: Economics Letters. RePEc:eee:ecolet:v:186:y:2020:i:c:s0165176519304458.

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2019Consistent estimation of time-varying loadings in high-dimensional factor models. (2019). Urga, Giovanni ; Hillebrand, Eric ; Mikkelsen, Jakob Guldbak . In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:535-562.

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2020Financial and fiscal shocks in the great recession and recovery of the Spanish economy. (2020). Boscá, José ; Rubio-Ramirez, J F ; Mendez, R ; Ferri, J ; Domenech, R. In: European Economic Review. RePEc:eee:eecrev:v:127:y:2020:i:c:s001429212030101x.

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2019The bank-sovereign nexus: Evidence from a non-bailout episode. (2019). Santucci de Magistris, Paolo ; Caporin, Massimiliano ; Ravazzolo, Francesco ; Natvik, Gisle J. In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:181-196.

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2019Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach. (2019). Guidolin, Massimo ; Hansen, Erwin ; Pedio, Manuela. In: Journal of Financial Markets. RePEc:eee:finmar:v:45:y:2019:i:c:p:83-114.

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2020Monetary policy and systemic risk-taking in the Euro area investment fund industry: A structural factor-augmented vector autoregression analysis. (2020). de Simone, Francisco Nadal ; Jin, Xisong. In: Journal of Financial Stability. RePEc:eee:finsta:v:49:y:2020:i:c:s1572308920300486.

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2019Non-monetary news in central bank communication. (2019). Schrimpf, Andreas ; Cieslak, Anna. In: Journal of International Economics. RePEc:eee:inecon:v:118:y:2019:i:c:p:293-315.

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2020The shifting drivers of global liquidity. (2020). Gambacorta, Leonardo ; Avdjiev, Stefan ; Schiaffi, Stefano ; Goldberg, Linda S. In: Journal of International Economics. RePEc:eee:inecon:v:125:y:2020:i:c:s0022199618301946.

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2020Looking through systemic credit risk: Determinants, stress testing and market value. (2020). Novales, Alfonso ; Chamizo, Alvaro. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:64:y:2020:i:c:s1042443119300939.

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2019Forecasting U.S. money growth using economic uncertainty measures and regularisation techniques. (2019). Tarassow, Artur. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:443-457.

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2019The walking debt crisis. (2019). Basse, Tobias ; Kruse, Robinson ; Wegener, Christoph. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:157:y:2019:i:c:p:382-402.

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2019The natural rate of interest and the financial cycle. (2019). Krustev, Georgi. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:162:y:2019:i:c:p:193-210.

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2020Monetary policy and herd behavior: International evidence. (2020). Spyrou, Spyros ; Makrychoriti, Panagiota ; Krokida, Styliani-Iris. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:170:y:2020:i:c:p:386-417.

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2019Binary Conditional Forecasts. (2019). Owyang, Michael ; McCracken, Michael ; McGillicuddy, Joseph. In: Working Papers. RePEc:fip:fedlwp:2019-029.

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2019Brexit and CDS spillovers across UK and Europe. (2018). Selmi, Refk ; bouoiyour, jamal. In: Post-Print. RePEc:hal:journl:hal-01736525.

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2019Quantitative Easing and the Term Premium as a Monetary Policy Instrument. (2019). Vaccaro-Grange, Etienne. In: Working Papers. RePEc:hal:wpaper:halshs-02359503.

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2019The Relation between the Corporate Bond-Yield Spread and the Real Economy: Stable or TimeVarying?. (2019). Österholm, Pär ; Karlsson, Sune ; Osterholm, Par. In: Working Papers. RePEc:hhs:oruesi:2019_007.

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2019Negative Monetary Policy Rates and Portfolio Rebalancing: Evidence from Credit Register Data. (2019). Sette, Enrico ; Presbitero, Andrea ; Peydro, Jose-Luis ; Minoiu, Camelia ; Bottero, Margherita ; Polo, Andrea. In: IMF Working Papers. RePEc:imf:imfwpa:19/44.

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2019Enabling Deep Negative Rates to Fight Recessions: A Guide. (2019). Kimball, Miles ; Agarwal, Ruchir. In: IMF Working Papers. RePEc:imf:imfwpa:19/84.

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2019The single supervision mechanism and contagion between bank and sovereign risk. (2019). Olmo, Begoa Torre ; Torreolmo, Begoa ; Azofra, Sergio Sanfilippo ; Sanfilippoazofra, Sergio ; Saiz, Maria Cantero. In: Journal of Regulatory Economics. RePEc:kap:regeco:v:55:y:2019:i:1:d:10.1007_s11149-018-09373-6.

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2019The Credit Default Swap market contagion during recent crises: international evidence. (2019). de Peretti, Christian ; Hmaied, Dorra ; Sabkha, Saker. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:53:y:2019:i:1:d:10.1007_s11156-018-0741-6.

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2020Negative interest rates, excess liquidity and retail deposits: Banks’ reaction to unconventional monetary policy in the euro area. (2019). Demiralp, Selva ; Vlassopoulos, Thomas ; Eisenschmidt, Jens. In: Koç University-TUSIAD Economic Research Forum Working Papers. RePEc:koc:wpaper:1910.

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2019Macroprudencial and Monetary Policies : The Need to Dance the Tango in Harmony. (2019). Pradines-Jobet, Florian ; Lucotte, Yannick ; Garcia, Jose David. In: LEO Working Papers / DR LEO. RePEc:leo:wpaper:2691.

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2020Monetary policy transmission with downward interest rate rigidity. (2020). Sahuc, Jean-Guillaume ; Levieuge, Gregory. In: LEO Working Papers / DR LEO. RePEc:leo:wpaper:2744.

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2019Defaultnomics: Making Sense of the Barro-Ricardo Equivalence in a Financialized World. (2019). Mastromatteo, Giuseppe ; Esposito, Lorenzo. In: Economics Working Paper Archive. RePEc:lev:wrkpap:wp_933.

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2020Drawing Conclusions from Structural Vector Autoregressions Identified on the Basis of Sign Restrictions. (2020). Hamilton, James ; Baumeister, Christiane. In: NBER Working Papers. RePEc:nbr:nberwo:26606.

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2020Drivers of Bank Default Risk: Bank Business Models, the Sovereign and Monetary Policy. (2020). Vander Vennet, Rudi ; Soenen, Nicolas. In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:20/997.

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2020End of the sovereign-bank doom loop in the European Union? The Bank Recovery and Resolution Directive. (2020). Covi, Giovanni ; Eydam, Ulrich. In: Journal of Evolutionary Economics. RePEc:spr:joevec:v:30:y:2020:i:1:d:10.1007_s00191-018-0576-2.

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2019Looking through systemic credit risk: determinants, stress testing and market value. (2019). Novales, Alfonso ; Chamizo, Alvaro. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1927.

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2020Negative monetary policy rates and portfolio rebalancing: Evidence from credit register data. (2019). Presbitero, Andrea ; Peydro, Jose-Luis ; Bottero, Margherita ; Sette, Enrico ; Polo, Andrea ; Minoiu, Camelia. In: Economics Working Papers. RePEc:upf:upfgen:1649.

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2020Prospects, Risks, and Vulnerabilities in Emerging and Developing Economies : Lessons from the Past Decade. (2020). Ruch, Franz Ulrich. In: Policy Research Working Paper Series. RePEc:wbk:wbrwps:9181.

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2019Macroeconomic forecast accuracy in a data‐rich environment. (2019). Stevanovic, Dalibor ; Kotchoni, Rachidi ; Leroux, Maxime. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:34:y:2019:i:7:p:1050-1072.

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2020Probit based time series models in recession forecasting – A survey with an empirical illustration for Finland. (2020). Nissila, Wilma. In: BoF Economics Review. RePEc:zbw:bofecr:72020.

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2020Expansionary Yet Different: Credit Supply and Real Effects of Negative Interest Rate Policy. (2020). Sette, Enrico ; Presbitero, Andrea ; Polo, Andrea ; Peydro, Jose-Luis ; Minoiu, Camelia ; Bottero, Margherita. In: EconStor Preprints. RePEc:zbw:esprep:216807.

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2020A structural investigation of quantitative easing. (2020). Strobel, Felix ; Goy, Gavin ; Bohl, Gregor. In: IMFS Working Paper Series. RePEc:zbw:imfswp:142.

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2020Encompassing monetary policy strategy review. (2020). Issing, Otmar. In: SAFE White Paper Series. RePEc:zbw:safewh:68.

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Works by Wolfgang Lemke:


YearTitleTypeCited
2008Threshold Dynamics of Short-term Interest Rates: Empirical Evidence and Implications for the Term Structure In: Economic Notes.
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article0
2007Threshold dynmamics of short-term interest rates: empirical evidence and implications for the term structure.(2007) In: Discussion Paper Series 1: Economic Studies.
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This paper has another version. Agregated cites: 0
paper
2015Classical time varying factor-augmented vector auto-regressive models—estimation, forecasting and structural analysis In: Journal of the Royal Statistical Society Series A.
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article16
2011Classical time-varying FAVAR models - Estimation, forecasting and structural analysis In: CEPR Discussion Papers.
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paper11
2011Classical time-varying FAVAR models - estimation, forecasting and structural analysis.(2011) In: Discussion Paper Series 1: Economic Studies.
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This paper has another version. Agregated cites: 11
paper
2011The Changing International Transmission of Financial Shocks: Evidence from a Classical Time-Varying FAVAR In: CEPR Discussion Papers.
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paper56
2016The Changing International Transmission of Financial Shocks: Evidence from a Classical Time‐Varying FAVAR.(2016) In: Journal of Money, Credit and Banking.
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This paper has another version. Agregated cites: 56
article
2011The changing international transmission of financial shocks: evidence from a classical time-varying FAVAR.(2011) In: Discussion Paper Series 1: Economic Studies.
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This paper has another version. Agregated cites: 56
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2020Natural Rate Chimera and Bond Pricing Reality In: DNB Working Papers.
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paper3
2009The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics In: Working Paper Series.
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paper6
2009The Janus-headed salvation: sovereign and bank credit risk premia during 2008-09 In: Working Paper Series.
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paper27
2010Predicting recession probabilities with financial variables over multiple horizons In: Working Paper Series.
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paper11
2017Below the zero lower bound: a shadow-rate term structure model for the euro area In: Working Paper Series.
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paper40
2016Below the zero lower bound: A shadow-rate term structure model for the euro area.(2016) In: Discussion Papers.
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2017Dissecting long-term Bund yields in the run-up to the ECBs Public Sector Purchase Programme In: Working Paper Series.
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2020Dissecting long-term Bund yields in the run-up to the ECB’s public sector purchase programme.(2020) In: Journal of Banking & Finance.
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2018Dissecting long-term Bund yields in the run-up to the ECBs Public Sector Purchase Programme.(2018) In: Annual Conference 2018 (Freiburg, Breisgau): Digital Economy.
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This paper has another version. Agregated cites: 2
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2018A macro-financial analysis of the corporate bond market In: Working Paper Series.
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2018A macro-financial analysis of the corporate bond market.(2018) In: Working Paper Research.
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This paper has another version. Agregated cites: 0
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2019A macro–financial analysis of the corporate bond market.(2019) In: Empirical Economics.
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2019Tracing the impact of the ECB’s asset purchase programme on the yield curve In: Working Paper Series.
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2019A tale of two decades: the ECB’s monetary policy at 20 In: Working Paper Series.
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2008An affine macro-finance term structure model for the euro area In: The North American Journal of Economics and Finance.
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article6
2007An affine macro-finance term structure model for the euro area.(2007) In: Discussion Paper Series 1: Economic Studies.
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2011The Janus-headed salvation: Sovereign and bank credit risk premia during 2008-2009 In: Economics Letters.
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article126
2008How useful is the concept of the natural real rate of interest for monetary policy? In: Cambridge Journal of Economics.
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article17
2005Using a Nonlinear Filter to Estimate a Multifactor Term Structure Model with Gaussian Mixture Innovations In: Computing in Economics and Finance 2005.
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2006Optimal Monetary Policy Response to Distortionary Tax Changes In: Computing in Economics and Finance 2006.
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2006Term Structure Modeling and Estimation in a State Space Framework In: Lecture Notes in Economics and Mathematical Systems.
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2008Bond pricing when the short-term interest rate follows a threshold process In: Quantitative Finance.
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2006Bond pricing when the short term interest rate follows a threshold process.(2006) In: Discussion Paper Series 1: Economic Studies.
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This paper has another version. Agregated cites: 2
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2005Money demand and macroeconomic uncertainty In: Discussion Paper Series 1: Economic Studies.
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2013What Can Break-Even Inflation Rates Tell Us about the Anchoring of Inflation Expectations in the Euro Area? In: Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order.
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2015A Shadow-Rate Term Structure Model for the Euro Area In: Annual Conference 2015 (Muenster): Economic Development - Theory and Policy.
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