Dalhaus, Tatjana; Schaumburg, Julia; Sekhposyan, Tatevik - 2021
helps our understanding of the ways various dimensions of monetary policy propagate through the yield curve and interact … policy actions, for example, short-term, long-term interest rate targeting and forward guidance, propagate across the yield … curve. We find that the network of interest rate surprises is indeed asymmetric, and defined by spillovers between adjacent …