Monetary Policy in the Capitals of Capital

Helene Rey and Elena Gerko

No 12217, CEPR Discussion Papers from Centre for Economic Policy Research

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.

Keywords: Monetary policy; International financial spillovers; High frequency identification (search for similar items in EconPapers)
JEL-codes: E4 E52 E58 F41 F6 G15 (search for similar items in EconPapers)
Date: 2017-08
New Economics Papers: this item is included in nep-cba, nep-ifn, nep-mac, nep-mon and nep-opm
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Citations: View citations in EconPapers (91)

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Journal Article: Monetary Policy in the Capitals of Capital (2017)
Working Paper: Monetary Policy in the Capitals of Capital (2017)
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