Interest Rate Swaps and the Transmission Mechanism of Monetary Policy: A Quantile Connectedness Approach

Ioannis Chatziantoniou, David Gabauer and Alexis Stenfors

No 2021-03, Working Papers in Economics & Finance from University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group

Abstract: We investigate 1-year interest rate swaps on USD, EUR, JPY and GBP between 2005 and 2020 utilising a quantile connectedness model. This approach allows for a nuanced investigation of connectedness and adds to understanding the monetary policy transmission mechanism within a highly integrated international financial system. Substantial interest rate changes (in either direction) matter for connectedness in financial markets. The results also indicate which currency drives developments depending on the direction of the change in interest rates.

Keywords: Interest Rate Swaps; Monetary Policy Transmission Mechanism; Quantile Vector Autorergression (search for similar items in EconPapers)
JEL-codes: C51 E43 F65 G15 (search for similar items in EconPapers)
Pages: 08
Date: 2021-03-08
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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Citations: View citations in EconPapers (126)

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Journal Article: Interest rate swaps and the transmission mechanism of monetary policy: A quantile connectedness approach (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:pbs:ecofin:2021-03

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