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International financial transmission of the Fed's monetary policy

Author

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  • Nikola Mirkov

    () (Swiss National Bank, Borsenstrasse 15, 8022 Zurich, Switzerland)

Abstract

This paper proposes a way to study the transmission mechanism of the US monetary policy to foreign yield curves. It elaborates the high-frequency identification of monetary policy shocks from (Piazzesi, 2005) in an international setting. The shocks are extracted from a two-country term structure model and the procedure is illustrated on the US-UK daily data.

Suggested Citation

  • Nikola Mirkov, 2014. "International financial transmission of the Fed's monetary policy," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Eastern Macedonia and Thrace Institute of Technology (EMATTECH), Kavala, Greece, vol. 7(2), pages 7-49, September.
  • Handle: RePEc:tei:journl:v:7:y:2014:i:2:p:7-49
    as

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    File URL: http://ijbesar.teiemt.gr/docs/volume7_issue2/international_financial_transmission.pdf
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    term premia; Fed; policy actions;

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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