Research

Working Papers

  • Rostagno, M, Altavilla, C., Carboni, G., Lemke, W., Motto, R. and Saint Guilhem, A. (2021), Combining negative rates, forward guidance and asset purchases: identification and impacts of the ECB’s unconventional policies, ECB Working Paper No 2564 (Download).
  • Brand, C., Goy, G. and Lemke, W. (2020), Natural Rate Chimera and Bond Pricing Reality, DNB Working Paper No 666 (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

  • Rostagno, M., Altavilla, C., Carboni, G., Lemke, W., Motto, R., Saint Guilhem, A. and Yiangou, J. (2021), Monetary Policy in Times of Crisis – A Tale of Two Decades of the European Central Bank, Oxford University Press. Link.
  • 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.

Policy publications and short pieces

  • Altavilla, C., Lemke, W., Linzert, T., Tapking, J. and von Landesberger, J. (2021), Assessing the efficacy, efficiency and potential side effects of the ECB’s monetary policy instruments since 2014, European Central Bank, Occasional Paper No 278. Download

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.