We model the complex global dependencies in international financial markets using spatial techniques. Our methodology allows us to go beyond conventional correlation analyses and volatility-spillover models confined to studying pairwise relationships, and improves the accuracy of return...

The paper uses a reduced-form vector autoregressive framework to study the effects of quantitative easing and operation “twist”, as well as a conventional monetary expansion, on corporate bond yields and spreads. We construct rating- and maturity-based weekly bond portfolios using TRACE and...