International financial transmission of the Fed's monetary policy

Nikola Mirkov

This paper proposes a way to study the transmission mechanism of the US monetary policy to foreign yield curves. It elaborates the high-frequency identification of monetary policy shocks from (Piazzesi, 2005) in an international setting. The shocks are extracted from a two-country term structure model and the procedure is illustrated on the US-UK daily data.

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Year of publication:	2014
Authors:	Mirkov, Nikola
Published in:	International journal of economic sciences and applied research : IJESAR. - Kavala : Inst., ISSN 1791-3373, ZDB-ID 2455837-0. - Vol. 7.2014, 2, p. 7-49
Subject:	term premia \| Fed \| policy actions \| Geldpolitik \| Monetary policy \| Zinsstruktur \| Yield curve \| Geldpolitische Transmission \| Monetary transmission \| Finanzkrise \| Financial crisis \| Internationaler Finanzmarkt \| International financial market

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Extent:	graph. Darst.
Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Notes:	Systemvoraussetzung: Acrobat Reader
Other identifiers:	hdl:10419/114621 [Handle]
Classification:	E43 - Determination of Interest Rates; Term Structure Interest Rates ; E52 - Monetary Policy (Targets, Instruments, and Effects) ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10010459782