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Wolfgang Lemke

Personal Details

First Name:Wolfgang
Middle Name:
Last Name:Lemke
Suffix:
RePEc Short-ID:ple433

Affiliation

European Central Bank

Frankfurt am Main, Germany
http://www.ecb.europa.eu/

: +49 69 1344 0
+49 69 1344 6000
D-60640 Frankfurt am Main
RePEc:edi:emieude (more details at EDIRC)

Research output

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Jump to: Working papers Articles Books

Working papers

  1. Lemke, Wolfgang & Werner, Thomas, 2017. "Dissecting long-term Bund yields in the run-up to the ECB's Public Sector Purchase Programme," Working Paper Series 2106, European Central Bank.
  2. Lemke, Wolfgang & Vladu, Andreea L., 2016. "Below the zero lower bound: A shadow-rate term structure model for the euro area," Discussion Papers 32/2016, Deutsche Bundesbank.
  3. Lemke, Wolfgang & Vladu, Andreea, 2015. "A Shadow-Rate Term Structure Model for the Euro Area," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113159, Verein für Socialpolitik / German Economic Association.
  4. Lemke, Wolfgang & Strohsal, Till, 2013. "What Can Break-Even Inflation Rates Tell Us about the Anchoring of Inflation Expectations in the Euro Area?," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79794, Verein für Socialpolitik / German Economic Association.
  5. Eickmeier, Sandra & Lemke, Wolfgang & Marcellino, Massimiliano, 2011. "Classical time-varying FAVAR models - Estimation, forecasting and structural analysis," CEPR Discussion Papers 8321, C.E.P.R. Discussion Papers.
  6. Eickmeier, Sandra & Lemke, Wolfgang & Marcellino, Massimiliano, 2011. "The changing international transmission of financial shocks: evidence from a classical time-varying FAVAR," Discussion Paper Series 1: Economic Studies 2011,05, Deutsche Bundesbank.
  7. Fornari, Fabio & Lemke, Wolfgang, 2010. "Predicting recession probabilities with financial variables over multiple horizons," Working Paper Series 1255, European Central Bank.
  8. Werner, Thomas & Lemke, Wolfgang, 2009. "The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics," Working Paper Series 1045, European Central Bank.
  9. Ejsing, Jacob & Lemke, Wolfgang, 2009. "The Janus-headed salvation: sovereign and bank credit risk premia during 2008-09," Working Paper Series 1127, European Central Bank.
  10. Archontakis, Theofanis & Lemke, Wolfgang, 2007. "Threshold dynmamics of short-term interest rates: empirical evidence and implications for the term structure," Discussion Paper Series 1: Economic Studies 2007,02, Deutsche Bundesbank.
  11. Lemke, Wolfgang, 2007. "An affine macro-finance term structure model for the euro area," Discussion Paper Series 1: Economic Studies 2007,13, Deutsche Bundesbank.
  12. Lemke, Wolfgang & Archontakis, Theofanis, 2006. "Bond pricing when the short term interest rate follows a threshold process," Discussion Paper Series 1: Economic Studies 2006,06, Deutsche Bundesbank.
  13. Michael Krause & Wolfgang Lemke, 2006. "Optimal Monetary Policy Response to Distortionary Tax Changes," Computing in Economics and Finance 2006 306, Society for Computational Economics.
  14. Lemke, Wolfgang & Greiber, Claus, 2005. "Money demand and macroeconomic uncertainty," Discussion Paper Series 1: Economic Studies 2005,26, Deutsche Bundesbank.
  15. Wolfgang Lemke, 2005. "Using a Nonlinear Filter to Estimate a Multifactor Term Structure Model with Gaussian Mixture Innovations," Computing in Economics and Finance 2005 341, Society for Computational Economics.

Articles

  1. Angela Abbate & Sandra Eickmeier & Wolfgang Lemke & Massimiliano Marcellino, 2016. "The Changing International Transmission of Financial Shocks: Evidence from a Classical Time‐Varying FAVAR," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(4), pages 573-601, June.
  2. Sandra Eickmeier & Wolfgang Lemke & Massimiliano Marcellino, 2015. "Classical time varying factor-augmented vector auto-regressive models—estimation, forecasting and structural analysis," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 178(3), pages 493-533, June.
  3. Ejsing, Jacob & Lemke, Wolfgang, 2011. "The Janus-headed salvation: Sovereign and bank credit risk premia during 2008-2009," Economics Letters, Elsevier, vol. 110(1), pages 28-31, January.
  4. Axel A. Weber & Wolfgang Lemke & Andreas Worms, 2008. "How useful is the concept of the natural real rate of interest for monetary policy?," Cambridge Journal of Economics, Oxford University Press, vol. 32(1), pages 49-63, January.
  5. Theofanis Archontakis & Wolfgang Lemke, 2008. "Threshold Dynamics of Short-term Interest Rates: Empirical Evidence and Implications for the Term Structure," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 37(1), pages 75-117, February.
  6. Lemke, Wolfgang, 2008. "An affine macro-finance term structure model for the euro area," The North American Journal of Economics and Finance, Elsevier, vol. 19(1), pages 41-69, March.
  7. Wolfgang Lemke & Theofanis Archontakis, 2008. "Bond pricing when the short-term interest rate follows a threshold process," Quantitative Finance, Taylor & Francis Journals, vol. 8(8), pages 811-822.

Books

  1. Wolfgang Lemke & Deutsche Bundesbank, 2006. "Term Structure Modeling and Estimation in a State Space Framework," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-540-28344-7, July.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 15 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-MON: Monetary Economics (12) 2006-07-15 2006-08-05 2006-08-05 2007-03-10 2007-09-02 2009-08-08 2011-04-23 2014-02-02 2016-02-17 2016-09-25 2017-03-05 2017-11-12. Author is listed
  2. NEP-EEC: European Economics (8) 2007-09-02 2010-01-10 2010-10-23 2014-02-02 2016-02-17 2016-09-25 2017-03-05 2017-11-12. Author is listed
  3. NEP-MAC: Macroeconomics (8) 2006-07-15 2006-08-05 2006-08-05 2007-03-10 2007-09-02 2014-02-02 2016-02-17 2016-09-25. Author is listed
  4. NEP-CBA: Central Banking (6) 2006-07-15 2007-09-02 2010-10-23 2011-04-23 2011-04-23 2014-02-02. Author is listed
  5. NEP-FMK: Financial Markets (3) 2006-08-05 2009-08-08 2016-02-17
  6. NEP-ECM: Econometrics (2) 2010-10-23 2011-04-23
  7. NEP-ETS: Econometric Time Series (2) 2007-03-10 2011-04-23
  8. NEP-FOR: Forecasting (2) 2010-10-23 2011-04-23
  9. NEP-RMG: Risk Management (2) 2010-01-10 2010-10-23
  10. NEP-BAN: Banking (1) 2010-01-10
  11. NEP-BEC: Business Economics (1) 2010-10-23
  12. NEP-FIN: Finance (1) 2006-08-05
  13. NEP-IFN: International Finance (1) 2011-04-23
  14. NEP-PBE: Public Economics (1) 2006-07-15
  15. NEP-UPT: Utility Models & Prospect Theory (1) 2009-08-08

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