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Monetary Policy in the Capitals of Capital

Author

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  • Gerko, Elena
  • Rey, H�l�ne

Abstract

The importance of financial markets and international capital flows has increased greatly since the 1990s. How does this affect the effectiveness of monetary policy? We analyse the transmission of monetary policy in two important financial centres, the United States and the United Kingdom. Studying the responses of mortgage and corporate spreads, we find evidence in favour of an important financial channel in both countries. Our identification strategy allows us to study effects of the policy rate and of forward guidance, broadly defined. We also analyse international financial spillovers, which we find to be asymmetric.

Suggested Citation

  • Gerko, Elena & Rey, H�l�ne, 2017. "Monetary Policy in the Capitals of Capital," CEPR Discussion Papers 12217, C.E.P.R. Discussion Papers.
  • Handle: RePEc:cpr:ceprdp:12217
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    Cited by:

    1. Bhattarai, Saroj & Chatterjee, Arpita & Park, Woong Yong, 2017. "Global Spillover Effects of US Uncertainty," Globalization and Monetary Policy Institute Working Paper 331, Federal Reserve Bank of Dallas.

    More about this item

    Keywords

    high frequency identification; international financial spillovers; monetary policy;

    JEL classification:

    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • F6 - International Economics - - Economic Impacts of Globalization
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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