The Effect of Monetary Unification on German Bond Markets
构建了一个基准，用于评估欧洲央行货币政策对德国债券市场的影响。通过估计欧元区成立前德国收益率曲线与央行政策的关联模型，再将其投射到欧元区时期，发现短期利率显著低于假设德国央行仍主导政策时的水平，且收益率利差大幅上升。
Abstract We develop a benchmark against which the effects of ECB monetary policy on the German bond market can be evaluated. We first estimate an affine term structure model for the pre‐EMU period linking the German yield curve with the Bundesbank monetary policy. The German monetary policy and its implied yield curve are then reprojected onto the EMU period. The reprojected yield curve differs significantly from the observed one. Short‐term interest rates during the EMU period are significantly lower than they would have been in case the Bundesbank were still in charge of monetary policy. Furthermore, yield spreads increased substantially during the EMU period.