International financial transmission of the Fed's monetary policy

Nikola Mirkov

International Journal of Business and Economic Sciences Applied Research (IJBESAR), 2014, vol. 7, issue 2, 7-49

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 (search for similar items in EconPapers)
JEL-codes: E43 E52 G12 (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:tei:journl:v:7:y:2014:i:2:p:7-49

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