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Monetary Policy in the Capitals of Capital

Elena Gerko and Helene Rey ()

No 12217, CEPR Discussion Papers from C.E.P.R. Discussion Papers

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: high frequency identification; international financial spillovers; monetary policy (search for similar items in EconPapers)
JEL-codes: E4 E52 E58 F41 F6 G15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-ifn, nep-mac, nep-mon and nep-opm
Date: 2017-08
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