{"id":42,"date":"2020-04-13T15:19:52","date_gmt":"2020-04-13T15:19:52","guid":{"rendered":"http:\/\/wolfganglemke.eu\/?page_id=42"},"modified":"2026-01-25T17:53:18","modified_gmt":"2026-01-25T17:53:18","slug":"research","status":"publish","type":"page","link":"https:\/\/wolfganglemke.eu\/?page_id=42","title":{"rendered":"Research"},"content":{"rendered":"\n<p class=\"has-normal-font-size\"><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-blue-color\"><strong>Work in progress<\/strong><\/mark><\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>Lemke, W. (2025), <strong> How useful is survey information for estimating autoregressive processes? &#8211; Back to square one<\/strong> &#8212; Draft available on request, contact me if interested<\/li>\n\n\n\n<li>Lemke, W. and Vladu, A. (2026), <strong>Excess liquidity and the yield curve<\/strong> &#8212; Draft available on request, contact me if interested<\/li>\n<\/ul>\n\n\n\n<div class=\"wp-block-group\"><div class=\"wp-block-group__inner-container is-layout-flow wp-block-group-is-layout-flow\">\n<p class=\"has-normal-font-size\"><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-blue-color\"><strong>Refereed Journals<\/strong><\/mark> (including forthcoming)<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>Brand, C., Goy, G. and Lemke, W. (2026) \u00a0<strong>&#8220;Estimating the Natural Rate of Interest in a Macro-Finance Yield Curve Model<\/strong>&#8220;, forthcoming in <em>Journal of Business &amp; Economic Statistics<\/em>. &#8211; <a href=\"https:\/\/doi.org\/10.1080\/07350015.2025.2561409\">Download <\/a>or <a href=\"https:\/\/www.ecb.europa.eu\/pub\/pdf\/scpwps\/ecb.wp3160~d48f8b9d45.en.pdf?4a7dba23bc8f680c39a37d9a89805d4b\">Download<\/a> as ECB Working Paper No 3160. The paper supersedes an earlier version entitled &#8220;Natural Rate Chimera and Bond Pricing Reality&#8221;.<\/li>\n\n\n\n<li>Rostagno, M, Altavilla, C., Carboni, G., Lemke, W., Motto, R. and Saint Guilhem, A. (2025), <strong>An options-based impact study of the negative interest&nbsp;rate policy and forward guidance<\/strong> &#8211; <em>Journal of Monetary Economics<\/em>, 152. &#8212; <a href=\"https:\/\/doi.org\/10.1016\/j.jmoneco.2025.103776\">Download <\/a>or <a href=\"https:\/\/www.ecb.europa.eu\/pub\/pdf\/scpwps\/ecb.wp2564~e02f3aad4c.en.pdf?634fbbe0651f71cae621f92fb62ae454\">Download<\/a> earlier version as ECB Working Paper No 2564.<\/li>\n\n\n\n<li>Bletzinger, T., Lemke, W. and Renne, J.-P. (2025), <strong>Time-varying risk aversion and inflation-consumption correlation in an equilibrium term structure model, <\/strong><em>Journal of Financial Econometrics<\/em>, 23(2). &#8212; <a href=\"https:\/\/doi.org\/10.1093\/jjfinec\/nbae038\">Download <\/a>or <a href=\"https:\/\/www.ecb.europa.eu\/pub\/pdf\/scpwps\/ecb.wp3012~35f8afb55c.en.pdf?c066deb1cb8db56a9e69b57dd3e25c36\">Download <\/a>as ECB Working Paper No 3012.<\/li>\n\n\n\n<li>Eser, F., Lemke, W., Nyholm, K., Radde, S. and Vladu, A. (2023), <strong>Tracing the impact of the ECB\u2019s asset purchase programme on the yield curve<\/strong>, <em>International Journal of Central Banking<\/em>.&#8211;<a href=\"https:\/\/www.ijcb.org\/journal\/ijcb23q3a9.pdf\">Download <\/a>or <a href=\"https:\/\/www.ecb.europa.eu\/pub\/pdf\/scpwps\/ecb.wp2293~41f7613883.en.pdf\">Download<\/a> older version as ECB Working Paper No 2293.<\/li>\n\n\n\n<li>Lemke, W. and Werner, T. (2020), <strong>Dissecting long-term Bund yields in the run-up to the ECB\u2019s public sector purchase programme<\/strong>, <em>Journal of Banking and Finance<\/em>, 111. &#8212; <a href=\"https:\/\/doi.org\/10.1016\/j.jbankfin.2019.105682\">Download<\/a> or <a href=\"https:\/\/www.ecb.europa.eu\/pub\/pdf\/scpwps\/ecb.wp2106.en.pdf\">Download<\/a> older version as ECB Working Paper No 2106.<\/li>\n\n\n\n<li>Dewachter, H., Iania, L., Lemke, W. and Lyrio, M. (2019), <strong>A Macro-Financial Analysis of the Corporate Bond Market<\/strong>, <em>Empirical Economics, <\/em>57, 1911-1933. &#8212; <a href=\"http:\/\/link.springer.com\/10.1007\/s00181-018-1530-8\">Download<\/a> or <a href=\"https:\/\/www.ecb.europa.eu\/pub\/pdf\/scpwps\/ecb.wp2214.en.pdf\">Download<\/a> older version as ECB Working Paper No 2214.<\/li>\n\n\n\n<li>Abbate, A., Eickmeier, S., Lemke, W. and Marcellino, M. (2016),&nbsp;<strong>The Changing International Transmission of Financial Shocks: Evidence from a Classical Time-Varying FAVAR<\/strong>, <em>Journal of Money, Credit and Banking<\/em>, 48(4), 573\u2013601. &#8212; <a href=\"http:\/\/onlinelibrary.wiley.com\/doi\/10.1111\/jmcb.12311\/abstract\">Download<\/a> or <a href=\"http:\/\/www.bundesbank.de\/Redaktion\/EN\/Downloads\/Publications\/Discussion_Paper_1\/2011\/2011_04_11_dkp_05.pdf?__blob=publicationFile\">Download<\/a> older version as Deutsche Bundesbank Discussion Paper 05-2011, or <a href=\"http:\/\/www.cepr.org\/pubs\/dps\/DP8341.asp\">Download<\/a> as CEPR Discussion Paper No. 8341<\/li>\n\n\n\n<li>Eickmeier, S., Lemke, W. and Marcellino, M. (2015), <strong>Classical Time-Varying Factor-Augmented Vector Auto-Regressive Models &#8211; Estimation, Forecasting and Structura<\/strong>l Analysis, <em>Journal of the Royal Statistical Society &#8211; Series A<\/em>, 178(3), 493-533. &#8212; <a href=\"http:\/\/onlinelibrary.wiley.com\/doi\/10.1111\/rssa.12068\/abstract\">Download<\/a> or <a href=\"http:\/\/www.bundesbank.de\/Redaktion\/EN\/Downloads\/Publications\/Discussion_Paper_1\/2011\/2011_04_08_dkp_04.pdf?__blob=publicationFile\">Download<\/a> older version as Deutsche Bundesbank Discussion Paper 04-2011, or <a href=\"http:\/\/www.cepr.org\/pubs\/new-dps\/dplist.asp?dpno=8321\">Download<\/a> as CEPR Discussion Paper No. 8321.<\/li>\n\n\n\n<li>Ejsing, J. and Lemke, W. (2011), <strong>The Janus-Headed Salvation: Sovereign and Bank Credit Risk Premia during 2008-2009<\/strong>,<em> Economics Letters<\/em>, 110(1), 28-31. &#8212; <a href=\"http:\/\/dx.doi.org\/10.1016\/j.econlet.2010.10.001\">Download<\/a> or <a href=\"http:\/\/www.ecb.int\/pub\/pdf\/scpwps\/ecbwp1127.pdf\">Download<\/a> longer version as ECB Working Paper No 1127.<br>Press coverage: &#8220;<a href=\"https:\/\/www.jfki.fu-berlin.de\/faculty\/economics\/Ehemalige_Mitarbeiter_innen\/schularick\/HB25112010_Die_wahren_Ursachen_der_griechischen_Trago__die.pdf\">Die wahren Ursachen der Griechischen Trag\u00f6die<\/a>&#8221; (Handelsblatt of 28 January 2010)<\/li>\n\n\n\n<li>Lemke, W. and Archontakis, T. (2008), <strong>Bond Pricing when the Short-Term Interest Rate Follows a Threshold Process<\/strong>, <em>Quantitative Finance<\/em>, 8(8), 811-822. &#8212; <a href=\"http:\/\/www.informaworld.com\/openurl?genre=article&amp;issn=1469-7688&amp;volume=8&amp;issue=8&amp;spage=811\">Download<\/a> or <a href=\"http:\/\/www.bundesbank.de\/Redaktion\/EN\/Downloads\/Publications\/Discussion_Paper_1\/2006\/2006_02_21_dkp_06.pdf?__blob=publicationFile\">Download <\/a>older version as Deutsche Bundesbank Discussion Paper 06-2006.<\/li>\n\n\n\n<li>Lemke, W. (2008), <strong>An Affine Macro-Finance Term Structure Model for the Euro Area<\/strong>, <em>North American Journal of Economics and Finance<\/em>, 19(1), 41-69. &#8212; <a href=\"http:\/\/dx.doi.org\/10.1016\/j.najef.2007.07.004\">Download<\/a> or <a href=\"http:\/\/www.bundesbank.de\/Redaktion\/EN\/Downloads\/Publications\/Discussion_Paper_1\/2007\/2007_06_11_dkp_13.pdf?__blob=publicationFile\">Download <\/a>older version as Deutsche Bundesbank Discussion Paper 13-2007.<\/li>\n\n\n\n<li>Archontakis, T. and Lemke, W. (2008), <strong>Threshold Dynamics of Short-Term Interest Rates: Empirical Evidence and Implications for the Term Structure<\/strong>, <em>Economic Notes<\/em>, 37(1), 75-117. &#8212; <a href=\"http:\/\/www.blackwell-synergy.com\/doi\/abs\/10.1111\/j.1468-0300.2008.00189.x\">Download<\/a> or <a href=\"http:\/\/www.bundesbank.de\/Redaktion\/EN\/Downloads\/Publications\/Discussion_Paper_1\/2007\/2007_02_16_dkp_02.pdf?__blob=publicationFile\">Download<\/a> older version as Deutsche Bundesbank Discussion Paper 02-2007.<\/li>\n\n\n\n<li>Weber, A. A., Lemke, W. and Worms, A. (2008), <strong>How Useful is the Concept of the Natural Real&nbsp; Rate of Interest for Monetary Policy?<\/strong>,<em> Cambridge Journal of Economics<\/em>, 32(1), 49-63. &#8212; <a href=\"http:\/\/cje.oxfordjournals.org\/cgi\/content\/abstract\/bem018v1\">Download<\/a><\/li>\n\n\n\n<li>Chen, P., Frohn, J. and Lemke, W. (2005), <strong>Estimation of Structural Econometric Models with Linear and Nonlinear Identities<\/strong>,<em> Applied Economics Quarterly<\/em>, Vol. 51, 169-180.<\/li>\n<\/ul>\n\n\n\n<p class=\"has-normal-font-size\"><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-blue-color\"><strong>Monographs<\/strong><\/mark><\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>Rostagno, M., Altavilla, C., Carboni, G., Lemke, W., Motto, R., Saint Guilhem, A. and Yiangou, J. (2021), <strong>Monetary Policy in Times of Crisis &#8211; A Tale of Two Decades of the European Central Bank<\/strong>, Oxford University Press. <a href=\"https:\/\/global.oup.com\/academic\/product\/monetary-policy-in-times-of-crisis-9780192895912?cc=de&amp;lang=en&amp;\">Link<\/a>.\n<ul class=\"wp-block-list\">\n<li>SUERF \/ OeNB book presentation (moderator: Ernest Gnan; discussants: Stefan Gerlach, Sarah Holton, Peter Praet): <a href=\"https:\/\/www.suerf.org\/webinars\/2141\/monetary-policy-in-times-of-crisis-a-tale-of-two-decades-of-the-european-central-bank\">Link<\/a> with video<\/li>\n\n\n\n<li>Bruegel book presentation (moderator: Francesco Papadia; discussant: Petra Geraats): <a href=\"https:\/\/www.bruegel.org\/event\/european-monetary-policy-lessons-past-two-decades\">Link <\/a>with video<\/li>\n<\/ul>\n<\/li>\n\n\n\n<li>Lemke, W. (2006), T<strong>erm Structure Modeling and Estimation in a State Space Framework<\/strong>,<em> Lecture Notes in Economics and Mathematical Systems<\/em>, Vol. 565, Springer. <a href=\"http:\/\/www.amazon.com\/Structure-Estimation-Framework-Economics-Mathematical\/dp\/3540283420\/ref=sr_1_2\/105-1054531-0321239?ie=UTF8&amp;s=books&amp;qid=1191528894&amp;sr=8-2\">Link<\/a>.<\/li>\n\n\n\n<li>Frohn, J., Chen, P., Hillebrand, B., Lemke, W.,&nbsp; Lutz, C., Meyer, B., and Pullen, M. (2003), <strong>Wirkungen umweltpolitischer Ma\u00dfnahmen &#8211; Absch\u00e4tzungen mit zwei \u00f6konometrischen Modellen<\/strong>, Physica-Verlag, Heidelberg. <a href=\"http:\/\/www.springer.com\/dal\/home\/generic\/search\/results?SGWID=1-40109-22-3091823-0\">Link<\/a>.<\/li>\n<\/ul>\n\n\n\n<p class=\"has-normal-font-size\"><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-blue-color\"><strong>Policy publications and short pieces<\/strong><\/mark>  <\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>Altavilla, C., Lemke, W., Linzert, T., Tapking, J. and von Landesberger, J. (2021), <strong>Assessing the efficacy, efficiency and potential side effects of the ECB\u2019s monetary policy instruments since 2014<\/strong>, European Central Bank, Occasional Paper No 278. <a href=\"https:\/\/www.ecb.europa.eu\/pub\/pdf\/scpops\/ecb.op278~a1ca90a789.en.pdf?ea9d340fc893fb0057b623865d643b5d\">Download<\/a><\/li>\n<\/ul>\n\n\n\n<p class=\"has-normal-font-size\"><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-blue-color\"><strong>Older working papers and other publications<\/strong><\/mark><\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>Lemke, W. and Vladu, A. (2016), <strong>Below the zero lower bound \u2013&nbsp; a shadow-rate term structure model for the euro area<\/strong>, Deutsche Bundesbank Discussion Paper 32-2016 (<a href=\"https:\/\/www.bundesbank.de\/resource\/blob\/704038\/09b95f24d92b8ea2be0078f61468bd15\/mL\/2016-09-02-dkp-32-data.pdf\">Download<\/a>) and ECB Working Paper No 1991 (<a href=\"https:\/\/www.ecb.europa.eu\/pub\/pdf\/scpwps\/ecbwp1991.en.pdf\">Download<\/a>).<\/li>\n\n\n\n<li>Fornari, F. and Lemke, W. (2010), <strong>Predicting Recession Probabilities with Financial Variables over Multiple Horizons<\/strong>, European Central Bank, Working Paper No 1255 (<a href=\"http:\/\/www.ecb.europa.eu\/pub\/pdf\/scpwps\/ecbwp1255.pdf\">Download<\/a>)<\/li>\n\n\n\n<li>Lemke, W. and Werner, T. (2009), <strong>The Term Structure of Equity Premia in an Affine Arbitrage-Free Model of Bond and Stock Market Dynamics<\/strong>, European Central Bank, Working Paper No 1045 (<a href=\"http:\/\/www.ecb.int\/pub\/pdf\/scpwps\/ecbwp1045.pdf\">Download<\/a>)<\/li>\n\n\n\n<li>Greiber, C. and Lemke, W. (2005), <strong>Money Demand and Macroeconomic Uncertainty<\/strong>, Deutsche Bundesbank, Discussion Paper 26-2005. (<a href=\"https:\/\/www.bundesbank.de\/en\/publications\/research\/discussion-papers\/money-demand-and-macroeconomic-uncertainty-703246\">Download<\/a>)<br>Press coverage: &#8220;<a href=\"https:\/\/www.faz.net\/aktuell\/wirtschaft\/konjunktur\/geldpolitik-die-geldnachfrage-im-euro-raum-ist-stabil-1253533.html\">Die Geldnachfrage im Euro-Raum ist stabil<\/a>&#8221; (FAZ of 11 August 2005)<\/li>\n\n\n\n<li>Chen, P., Frohn, J. and Lemke, W. (2004 ), <strong>Die Nutzung von Zeitverwendungsinformationen zur Einbeziehung sozialer Aspekte in makro\u00f6konometrische Systeme<\/strong> in: Statistisches Bundesamt (ed.),&nbsp; <em>Analyse von Lebenszyklen &#8211; Ergebnisse des 4. und 5. Weimarer Kolloquiums<\/em>. <a href=\"https:\/\/www.destatis.de\/DE\/Publikationen\/Thematisch\/VolkswirtschaftlicheGesamtrechnungen\/SoziooekonomischesBerichtssystem\/VGRSozOekBand5_1030605049004.pdf?__blob=publicationFile\">Link<\/a>.<\/li>\n<\/ul>\n<\/div><\/div>\n\n\n\n<p><\/p>\n","protected":false},"excerpt":{"rendered":"<p>Work in progress Refereed Journals (including forthcoming) Monographs Policy publications and short pieces Older working papers and other publications<\/p>\n","protected":false},"author":1,"featured_media":0,"parent":0,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"","meta":{"footnotes":""},"class_list":["post-42","page","type-page","status-publish","hentry"],"_links":{"self":[{"href":"https:\/\/wolfganglemke.eu\/index.php?rest_route=\/wp\/v2\/pages\/42","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/wolfganglemke.eu\/index.php?rest_route=\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/wolfganglemke.eu\/index.php?rest_route=\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/wolfganglemke.eu\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/wolfganglemke.eu\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=42"}],"version-history":[{"count":39,"href":"https:\/\/wolfganglemke.eu\/index.php?rest_route=\/wp\/v2\/pages\/42\/revisions"}],"predecessor-version":[{"id":198,"href":"https:\/\/wolfganglemke.eu\/index.php?rest_route=\/wp\/v2\/pages\/42\/revisions\/198"}],"wp:attachment":[{"href":"https:\/\/wolfganglemke.eu\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=42"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}