Research

Working Papers

  • Brand, C., Goy, G. and Lemke, W. (2020), Natural Rate Chimera and Bond Pricing Reality, DNB Working Paper No 666 (Download).
  • Rostagno, M, Altavilla, C., Carboni, G., Lemke, W., Motto, R., Saint Guilhem, A. and Yiangou, J. (2019), A tale of two decades: the ECB’s monetary policy at 20, ECB Working Paper No 2346 (Download).
  • Eser, F., Lemke, W., Nyholm, K., Radde, S. and Vladu, A. (2019), Tracing the impact of the ECB’s asset purchase programme on the yield curve, ECB Working Paper No 2293 (Download).
  • Lemke, W. and Vladu, A. (2016), Below the zero lower bound –  a shadow-rate term structure model for the euro area, Deutsche Bundesbank Discussion Paper 32-2016 (Download) and ECB Working Paper No 1991 (Download).

Refereed Journals

  • Lemke, W. and Werner, T. (2020), Dissecting long-term Bund yields in the run-up to the ECB’s public sector purchase programme, Journal of Banking and Finance, 111. — Download or Download older version as ECB Working Paper No 2106
  • Dewachter, H., Iania, L., Lemke, W. and Lyrio, M. (2019), A Macro-Financial Analysis of the Corporate Bond Market, Empirical Economics, 57, 1911-1933. — Download or Download older version as ECB Working Paper No 2214.
  • Abbate, A., Eickmeier, S., Lemke, W. and Marcellino, M. (2016), The Changing International Transmission of Financial Shocks: Evidence from a Classical Time-Varying FAVAR, Journal of Money, Credit and Banking, 48(4), 573–601. — Download or Download older version as Deutsche Bundesbank Discussion Paper 05-2011, or Download as CEPR Discussion Paper No. 8341
  • Eickmeier, S., Lemke, W. and Marcellino, M. (2015), Classical Time-Varying Factor-Augmented Vector Auto-Regressive Models – Estimation, Forecasting and Structural Analysis, Journal of the Royal Statistical Society – Series A, 178(3), 493-533. — Download or Download older version as Deutsche Bundesbank Discussion Paper 04-2011, or Download as CEPR Discussion Paper No. 8321.
  • Ejsing, J. and Lemke, W. (2011), The Janus-Headed Salvation: Sovereign and Bank Credit Risk Premia during 2008-2009, Economics Letters, 110(1), 28-31. — Download or Download longer version as ECB Working Paper No 1127.
  • Lemke, W. and Archontakis, T. (2008), Bond Pricing when the Short-Term Interest Rate Follows a Threshold Process, Quantitative Finance, 8(8), 811-822. — Download or Download older version as Deutsche Bundesbank Discussion Paper 06-2006.
  • Lemke, W. (2008), An Affine Macro-Finance Term Structure Model for the Euro Area, North American Journal of Economics and Finance, 19(1), 41-69. — Download or Download older version as Deutsche Bundesbank Discussion Paper 13-2007.
  • Archontakis, T. and Lemke, W. (2008), Threshold Dynamics of Short-Term Interest Rates: Empirical Evidence and Implications for the Term Structure, Economic Notes, 37(1), 75-117. — Download or Download older version as Deutsche Bundesbank Discussion Paper 02-2007.
  • Weber, A. A., Lemke, W. and Worms, A. (2008), How Useful is the Concept of the Natural Real  Rate of Interest for Monetary Policy?, Cambridge Journal of Economics, 32(1), 49-63. — Download
  • Chen, P., Frohn, J. and Lemke, W. (2005), Estimation of Structural Econometric Models with Linear and Nonlinear Identities, Applied Economics Quarterly, Vol. 51, 169-180.

Monographs

  • Lemke, W. (2006), Term Structure Modeling and Estimation in a State Space Framework, Lecture Notes in Economics and Mathematical Systems, Vol. 565, Springer. Link.
  • Frohn, J., Chen, P., Hillebrand, B., Lemke, W.,  Lutz, C., Meyer, B., and Pullen, M. (2003), Wirkungen umweltpolitischer Maßnahmen – Abschätzungen mit zwei ökonometrischen Modellen, Physica-Verlag, Heidelberg. Link.

Older working papers and other publications

  • Fornari, F. and Lemke, W. (2010), Predicting Recession Probabilities with Financial Variables over Multiple Horizons, European Central Bank, Working Paper No 1255.
    Download
  • Lemke, W. and Werner, T. (2009), The Term Structure of Equity Premia in an Affine Arbitrage-Free Model of Bond and Stock Market Dynamics, European Central Bank, Working Paper No 1045
    Download
  • Greiber, C. and Lemke, W. (2005), Money Demand and Macroeconomic Uncertainty, Deutsche Bundesbank, Discussion Paper 26-2005.
    Download
  • Chen, P., Frohn, J. and Lemke, W. (2004 ), Die Nutzung von Zeitverwendungsinformationen zur Einbeziehung sozialer Aspekte in makroökonometrische Systeme in: Statistisches Bundesamt (ed.),  Analyse von Lebenszyklen – Ergebnisse des 4. und 5. Weimarer Kolloquiums. Link.