The International Impact of US Unconventional Monetary Policy

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

Resumé

Using a structural factor-augmented vector autoregression model and a large data set of daily time series, we study the impact of US unconventional monetary policy on British and German financial markets. Our findings indicate that a surprise US unconventional monetary policy easing leads to increased equity returns and lower government bond yields for both Germany and the United Kingdom. These effects then nearly completely dissipate after approximately 750 days.
OriginalsprogEngelsk
TidsskriftApplied Economics Letters
Vol/bind22
Udgave nummer12
Sider (fra-til)955-959
Antal sider5
ISSN1350-4851
DOI
StatusUdgivet - 2015

Emneord

  • Unconventional monetary policy
  • International financial markets

Citer dette

@article{df73c34eabe34328be2b3e5355b42afb,
title = "The International Impact of US Unconventional Monetary Policy",
abstract = "Using a structural factor-augmented vector autoregression model and a large data set of daily time series, we study the impact of US unconventional monetary policy on British and German financial markets. Our findings indicate that a surprise US unconventional monetary policy easing leads to increased equity returns and lower government bond yields for both Germany and the United Kingdom. These effects then nearly completely dissipate after approximately 750 days.",
keywords = "Unconventional monetary policy, International financial markets",
author = "Chandler Lutz",
year = "2015",
doi = "10.1080/13504851.2014.990616",
language = "English",
volume = "22",
pages = "955--959",
journal = "Applied Economics Letters",
issn = "1350-4851",
publisher = "Routledge",
number = "12",

}

The International Impact of US Unconventional Monetary Policy. / Lutz, Chandler.

I: Applied Economics Letters, Bind 22, Nr. 12, 2015, s. 955-959.

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

TY - JOUR

T1 - The International Impact of US Unconventional Monetary Policy

AU - Lutz, Chandler

PY - 2015

Y1 - 2015

N2 - Using a structural factor-augmented vector autoregression model and a large data set of daily time series, we study the impact of US unconventional monetary policy on British and German financial markets. Our findings indicate that a surprise US unconventional monetary policy easing leads to increased equity returns and lower government bond yields for both Germany and the United Kingdom. These effects then nearly completely dissipate after approximately 750 days.

AB - Using a structural factor-augmented vector autoregression model and a large data set of daily time series, we study the impact of US unconventional monetary policy on British and German financial markets. Our findings indicate that a surprise US unconventional monetary policy easing leads to increased equity returns and lower government bond yields for both Germany and the United Kingdom. These effects then nearly completely dissipate after approximately 750 days.

KW - Unconventional monetary policy

KW - International financial markets

U2 - 10.1080/13504851.2014.990616

DO - 10.1080/13504851.2014.990616

M3 - Journal article

VL - 22

SP - 955

EP - 959

JO - Applied Economics Letters

JF - Applied Economics Letters

SN - 1350-4851

IS - 12

ER -