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.
| Original language | English |
|---|---|
| Journal | Applied Economics Letters |
| Volume | 22 |
| Issue number | 12 |
| Pages (from-to) | 955-959 |
| Number of pages | 5 |
| ISSN | 1350-4851 |
| DOIs | |
| Publication status | Published - 2015 |