International Financial Transmission of the Fed's Monetary Policy
International Journal of Economic Sciences and Applied Research, 7 (2): 7-49
43 Pages Posted: 9 Dec 2014
Date Written: September 9, 2014
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.
Keywords: term premia, Fed, policy actions
JEL Classification: E43, E52, G12
Suggested Citation: Suggested Citation