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Lemke, Wolfgang

Monetary Policy

Division

Capital Markets/Financial Structure

Current position

Adviser

Fields of interest

Financial Economics,
Macroeconomics and Monetary Economics

Email

Wolfgang.Lemke@ecb.europa.eu

Education
  • 2004
    PhD in Economics (Dr. rel. pol.) University of Bielefeld, Germany
  • 2000
    MA in Economics (Dipl.-Volkswirt) University of Bielefeld, Germany
  • 1997-1998
    Purdue University, Indiana, USA (visiting PhD programme)
Professional experience
  • 2017-
    Adviser, ECB, Capital Markets/Financial Structure Division
  • 2011-2017
    Principal Economist / Adviser (temporary), ECB, Monetary Policy Strategy Division and Capital Markets/Financial Structure Division
  • 2007-2011
    Economist, ECB, Capital Markets /Financial Structure Division and Monetary Policy Research Division
  • 2004-2007
    Economist, Deutsche Bundesbank, Economics Department, Monetary Policy and Analysis Division
  • 2000-2004
    University of Bielefeld, Assistant at the Chair of Econometrics and Statistics
Teaching experience
  • 2000-2004
    Lectures in Empirical Economics and Time Series Analysis, Seminars in Statistics and Econometrics: University of Bielefeld
Awards
  • 2006
    Dissertation Award of the Westfälisch-Lippische Universitätsgesellschaft
  • 1997
    Scholarship of the Konrad-Adenauer-Foundation

ECB Working Paper Series

2019
Rostagno, Massimo, Altavilla, Carlo, Carboni, Giacomo, Lemke, Wolfgang, Motto, Roberto, Saint Guilhem, Arthur, Yiangou, Jonathan
A tale of two decades: the ECB’s monetary policy at 20
No 2346
Eser, Fabian, Lemke, Wolfgang, Nyholm, Ken, Radde, Sören, Vladu, Andreea Liliana
Tracing the impact of the ECB’s asset purchase programme on the yield curve
No 2293
2018
Dewachter, Hans, Iania, Leonardo, Lemke, Wolfgang, Lyrio, Marco
A macro-financial analysis of the corporate bond market
No 2214
2017
Lemke, Wolfgang, Werner, Thomas
Dissecting long-term Bund yields in the run-up to the ECB's Public Sector Purchase Programme
No 2106
Lemke, Wolfgang, Vladu, Andreea Liliana
Below the zero lower bound: a shadow-rate term structure model for the euro area
No 1991
2010
Fornari, Fabio, Lemke, Wolfgang
Predicting recession probabilities with financial variables over multiple horizons
No 1255
2009
Ejsing, Jacob, Lemke, Wolfgang
The Janus-headed salvation: sovereign and bank credit risk premia during 2008-09
No 1127
Werner, Thomas, Lemke, Wolfgang
The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics
No 1045

Journal publications

2020
Lemke, W. and Werner, T.
Dissecting long-term Bund yields in the run-up to the ECB’s public sector purchase programme
Journal of Banking and Finance, 111, February 2020
2019
Dewachter, H., Iania, L., Lemke, W. and Lyrio, M.
A Macro-Financial Analysis of the Corporate Bond Market
Empirical Economics, 57(6), pp. 1911–1933
2016
Abbate, A., Eickmeier, S., Lemke, W. and Marcellino, M.
The Changing International Transmission of Financial Shocks: Evidence from a Classical Time-Varying FAVAR
Journal of Money, Credit and Banking, 48(4), pp. 573–601
2015
Eickmeier, S., Lemke, W. and Marcellino, M.
Classical Time-Varying Factor-Augmented Vector Auto-Regressive Models - Estimation, Forecasting and Structural Analysis
Journal of the Royal Statistical Society - Series A, 178(3), pp. 493-533
2011
Ejsing, J. and Lemke, W.
The Janus-Headed Salvation: Sovereign and Bank Credit Risk Premia during 2008-2009
Economics Letters, 110(1), pp. 28-31
2008
Lemke, W. and Archontakis, T.
Bond Pricing when the Short-Term Interest Rate Follows a Threshold Process
Quantitative Finance, 8(8), pp. 811-822
W. Lemke
An Affine Macro-Finance Term Structure Model for the Euro Area
North American Journal of Economics and Finance, 19(1), pp. 41-69
Archontakis, T. and Lemke, W.
Threshold Dynamics of Short-Term Interest Rates: Empirical Evidence and Implications for the Term Structure
Economic Notes, 37(1), pp. 75-117
Weber, A. A., Lemke, W. and Worms, A.
How Useful is the Concept of the Natural Real Rate of Interest for Monetary Policy?
Cambridge Journal of Economics, 32(1), pp. 49-63
2005
Chen, P., Frohn, J. and Lemke, W.
Estimation of Structural Econometric Models with Linear and Nonlinear Identities
Applied Economics Quarterly, 51, pp. 169-180

Other publications

2006
Lemke, W.
Term Structure Modeling and Estimation in a State Space Framework
Springer, Lecture Notes in Economics and Mathematical Systems
2003
Frohn, J., Chen, P., Hillebrand, B., Lemke, W., Lutz, C., Meyer, B., and Pullen, M.
Wirkungen umweltpolitischer Maßnahmen - Abschätzungen mit zwei ökonometrischen Modellen
Physica
2020
Brand, C., Goy, G., and Lemke, W.
Natural Rate Chimera and Bond Pricing Reality
DNB Working Paper, No 666
2005
Greiber, C. and Lemke, W.
Money Demand and Macroeconomic Uncertainty
Deutsche Bundesbank, Discussion Paper, 26-2005