Wolfgang Lemke

Private homepage of
Dr. Wolfgang Lemke

Contact:
wolfganglemke.eu [ at ]googlemail.com

Research Interests

Monetary Economics, Financial Economics, Time Series Econometrics

Work in Progress

Sovereign Bond Spreads and Fiscal Fundamentals - a Real-Time, Mixed-Frequency Approach, with J. Ejsing and E. Margaritov
The Information Content of Corporate Bond Spreads: a Macro-Finance Approach, with H. Dewachter and L. Iania

Publications and Working Papers

Working papers

Eickmeier, S., Lemke, W. and Marcellino, M. (2011), The Changing International Transmission of Financial Shocks: Evidence from a Classical Time-Varying FAVAR, Deutsche Bundesbank Discussion Paper 05-2011 and CEPR Discussion Paper No. 8341.

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Eickmeier, S., Lemke, W. and Marcellino, M. (2011), Classical Time-Varying FAVAR Models - Estimation, Forecasting and Structural Analysis, Deutsche Bundesbank Discussion Paper 04-2011 and CEPR Discussion Paper No. 8321.

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Download (Bundesbank)

Fornari, F. and Lemke, W. (2010), Predicting Recession Probabilities with Financial Variables over Multiple Horizons, European Central Bank, Working Paper No. 1255.

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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.

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Greiber, C. and Lemke, W. (2005), Money Demand and Macroeconomic Uncertainty, Deutsche Bundesbank Discussion Paper 26-2005.

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Refereed journals

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.

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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.

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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.

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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.

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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.

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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

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.

Other

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.

Selected Presentations

2011	Banque de France, Paris; European Meeting of the Econometric Society, Oslo
2010	European Economic Association, Glasgow; European Finance Association, Frankfurt; European University Institute, Florence, Econometrics Workshop; Conference "High-Dimensional Econometric Modelling", Cass Business School, City University, London
2009	German Economic Association, Magdeburg; German Finance Association, Frankfurt; University of St. Gallen, Finance Seminar
2008	Workshop on Equity Premium jointly organized by the ECB and the Bank of England, Frankfurt; WHU, Otto-Beisheim School of Management, Vallendar
2007	German Economic Association, Munich
2006	Bundesbank/ZEW Conference “Relation between Monetary Policy and Financial Markets”, Mannheim; German Finance Association, Oestrich-Winkel; German Economic Association, Bayreuth; European Economic Association, Vienna
2005	Bundesbank Workshop “What Central Banks Can Learn from Money and Credit Aggregates”, Eltville; Society for Computational Economics, Washington; Society for Nonlinear Dynamics and Econometrics, London

Recent discussions

Monfort, A. and Renne, J.-P., "Default, Liquidity and Crises: an Econometric Framework", Banque de France seminar, February 2011
Adrian, T. and Etula, E., "Funding Liquidity Risk and the Cross-Section of Stock Returns", ECB Workshop on "The Role of Financial Market Liquidity in Periods of
Turbulence: Theory, Empirical Evidence and Implications for Policy", October 2010
Nyborg, K. P. and Ostberg, P. "Money and Liquidity in Financial Markets", European Finance Association, August 2010
Chun, A., "Forecasting Interest Rates and Inflation: Blue Chip Clairvoyants or Econometrics?", CESifo Conference on survey data in economics, November 2009
Feldhütter, P., Schneider, P. and Trolle, A. "Jumps in Interest Rates and Pricing of Jump Risk – Evidence from the Eurodollar Market", German Finance Association, October 2009

Education and Degrees

07/00 - 07/04	Doctoral Studies in Economics, University of Bielefeld Advisor: Prof. Dr. J. Frohn, 2nd advisor: Prof. Dr. Willi Semmler Thesis: Term Structure Modeling and Estimation in a State Space Framework Doctorate in Economics (Dr. rer. pol.) November 2004 (with highest distinction)
10/98 - 06/00	Diplom in Economics (Masters equivalent), University of Bielefeld (with highest distinction)
08/97 - 05/98	Ph.D. Program Economics, Purdue University, Indiana, USA (as a visiting student)
10/95 - 07/97	Vordiplom in Economics, University of Bielefeld, Germany

Research and Professional Experience

since 07/11	Principal Economist, European Central Bank, Monetary Policy Strategy Division
05/07 - 06/11	Economist, European Central Bank, Capital Markets and Financial Structure Division
07/09 - 11/09	Economist, European Central Bank, Monetary Policy Research Division
08/04 - 04/07	Economist, Deutsche Bundesbank, Economics Department, Monetary Policy and Analysis Division (since 05/07 on leave to ECB)
07/00 - 07/04	Scientific assistent, University of Bielefeld, Economics Department, Statistics and Econometrics, Prof. Dr. J. Frohn
06/99 - 04/03	Research fellow in the project of the Federal Environmental Agency "Abschätzung der Auswirkungen umweltpolitischer Maßnahmen zur Erreichung von Umweltzielen mit Hilfe ökonometrischer Modelle" (Using econometric models for estimating the impact of environmental policy measures for the achievement of environmental standards)
06/98 - 08/98	Intern at the ifo Institute for Economic Research, Munich, Division of International Economics and European Integration

Teaching Experience

Grundlagen der empirischen Wirtschaftsforschung (Foundations of Empirical Economics), lecture and exercises
Projekt zur empirischen Wirtschaftsforschung (Project Seminar in Empirical Economics), with J. Frohn und P. Chen
Computergestützte Verfahren in der Ökonometrie (Computer-intensive Methods in Econometrics), lecture, with P. Chen
Zeitreihenanalyse (Time Series Analysis), lecture and exercises
Seminars in Statistics and Econometrics, with J. Frohn and P. Chen

Refereeing

Allgemeines Statistisches Archiv (Journal of the German Statistical Society), Computational Economics, European Central Bank Working Paper Series, Financial Markets and Portfolio Management, Journal of Financial Stability, Journal of Forecasting, Journal of Macroeconomics, The Journal of Risk, Review of Finance

Scholarships and Awards

02/06	Dissertation Award of the Westfälisch-Lippische Universitätsgesellschaft
08/97 - 05/98	Scholarship of the German Academic Exchange Service
10/96 - 06/00	Scholarship of the Konrad-Adenauer-Foundation

Wolfgang Lemke, private homepage, last modified: 1 September 2011