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Schwarzbach, C., Klippstein, A., Tholl, J., Basse, T. German Government Bond Yields During the COVID-19 Pandemic: Some Thoughts About Monetary Policy and the Term Premium. Zeitschrift für die gesamte Versicherungswissenschaft, 112(4), 369-387. https://doi.org/10.3790/zverswiss.2023.1430001
Schwarzbach, Christoph; Klippstein, Anna; Tholl, Johannes and Basse, Tobias "German Government Bond Yields During the COVID-19 Pandemic: Some Thoughts About Monetary Policy and the Term Premium" Zeitschrift für die gesamte Versicherungswissenschaft 112.4, 2023, 369-387. https://doi.org/10.3790/zverswiss.2023.1430001
Schwarzbach, Christoph/Klippstein, Anna/Tholl, Johannes/Basse, Tobias (2023): German Government Bond Yields During the COVID-19 Pandemic: Some Thoughts About Monetary Policy and the Term Premium, in: Zeitschrift für die gesamte Versicherungswissenschaft, vol. 112, iss. 4, 369-387, [online] https://doi.org/10.3790/zverswiss.2023.1430001
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German Government Bond Yields During the COVID-19 Pandemic: Some Thoughts About Monetary Policy and the Term Premium

Schwarzbach, Christoph | Klippstein, Anna | Tholl, Johannes | Basse, Tobias

Zeitschrift für die gesamte Versicherungswissenschaft, Vol. 112 (2023), Iss. 4 : pp. 369–387

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Article Details

Publisher Name
Duncker & Humblot
DOI
https://doi.org/10.3790/zverswiss.2023.1430001
Language
German
Pages
19

Author Details

Christoph Schwarzbach (corresponding author), Europäische Fernhochschule Hamburg, Doberaner Weg 20, 22143 Hamburg, Germany, and Leibniz University Hannover, Königsworther Platz 1, 30167 Hannover, Germany.

Anna Klippstein, Touro University Berlin, Am Rupenhorn 5, 14055 Berlin, Germany

Johannes Tholl, Universität Bayreuth, Universitätsstraße 30, 95447 Bayreuth, Germany

Tobias Basse, Norddeutsche Landesbank Girozentrale, Friedrichswall 10, 30159 Hannover, Germany, and Touro University Berlin, Am Rupenhorn 5, 14055 Berlin, Germany

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Abstract

Zusammenfassung

In der Zeit der durch COVID-19 ausgelösten Pandemie lässt sich eine Granger-Kausalität von kurzfristigen Renditen deutscher Staatsanleihen für langfristige Renditen nachweisen. Es existiert zudem eine bidirektionale Granger-Kausalität zwischen den Zinsen der Laufzeitbereiche 2 und 30 Jahre. Dies gilt nicht für die Renditen von Anleihen mit einer Restlaufzeit von 2 und 10 Jahren. Die langfristigen Renditen sind bekanntlich von besonderer Bedeutung für europäische Lebensversicherer. Zur Erklärung dieser Beobachtungen sollte nicht auf Veränderungen des Leitzinsniveaus zurückgegriffen werden, da dieses im Betrachtungszeitraum konstant war. Die unkonventionellen geldpolitischen Maßnahmen der EZB und die Existenz von Risikoprämien könnten bessere Erklärungsansätze liefern.

Table of Contents

Section Title Page Action Price
Christoph Schwarzbach et al.: German Government Bond Yields During the COVID-19 Pandemic: Some Thoughts About Monetary Policy and the Term Premium 369
Abstract 369
Zusammenfassung 370
1. Introduction 370
2. The ECB and the COVID-19 Crisis 372
3. The Expectations Theory of the Term Structure of Interest Rates 375
4. Data and Methodological Issues 376
5. Empirical Analysis 379
6. Some Thoughts About Stability 381
7. Conclusion 382
References 383

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