Rogers, John H.; Scotti, Chiara; Wright, Jonathan H. - 2016
, and hence risk premia. U.S. monetary policy easing shocks lower domestic and foreign bond risk premia, lead to dollar …We assess the relationship between monetary policy, foreign exchange risk premia and term premia at the zero lower … depreciation and lower foreign exchange risk premia. We present some evidence that U.S. monetary policy easing surprises at the ZLB …