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

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.

Keywords: term premia, Fed, policy actions

JEL Classification: E43, E52, G12

Suggested Citation

Mirkov, Nikola, International Financial Transmission of the Fed's Monetary Policy (September 9, 2014). International Journal of Economic Sciences and Applied Research, 7 (2): 7-49, Available at SSRN: https://ssrn.com/abstract=2535882

Nikola Mirkov (Contact Author)

Swiss National Bank ( email )

Borsenstrasse 15
Zurich, 8022
Switzerland

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