Boer, Lukas; Menkhoff, Lukas; Rieth, Malte - 2020
We study the multifaceted effects and persistence of trade policy shocks on financial markets in a structural vector … autoregression. The model is identified via event day heteroskedasticity. We find that restrictive US trade policy shocks affect US … interest rates, and leading to an appreciation of the US-Dollar. The effects are significant for several weeks or quarters …