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The international impact of US unconventional monetary policy

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  • Chandler Lutz

Abstract

Using a structural factor-augmented vector autoregression model and a large data set of daily time series, we study the impact of US unconventional monetary policy on British and German financial markets. Our findings indicate that a surprise US unconventional monetary policy easing leads to increased equity returns and lower government bond yields for both Germany and the United Kingdom. These effects then nearly completely dissipate after approximately 750 days.

Suggested Citation

  • Chandler Lutz, 2015. "The international impact of US unconventional monetary policy," Applied Economics Letters, Taylor & Francis Journals, vol. 22(12), pages 955-959, August.
  • Handle: RePEc:taf:apeclt:v:22:y:2015:i:12:p:955-959
    DOI: 10.1080/13504851.2014.990616
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    References listed on IDEAS

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    Cited by:

    1. Martien Lamers & Frederik Mergaerts & Elien Meuleman & Rudi Vander Vennet, 2016. "The trade-off between monetary policy and bank stability," Working Paper Research 308, National Bank of Belgium.
    2. repec:eee:jbfina:v:86:y:2018:i:c:p:1-20 is not listed on IDEAS

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