Dewachter, Hans; Lyrio, Marco; Maes, Konstantijn - Centrum voor Economische Studiën, Faculteit Economie … - 2001
This paper uses reprojection to develop a benchmark to assess ECB monetary policy since January 1999, the start of EMU. We first estimate an essentially affine term structure model for the German SWAP yield curve between 1987:04-1998:12. The German monetary policy is then reprojected onto the...
