Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/114621
Authors: 
Mirkov, Nikola
Year of Publication: 
2014
Citation: 
[Journal:] International Journal of Economic Sciences and Applied Research [ISSN:] 1791-3373 [Volume:] 7 [Year:] 2014 [Issue:] 2 [Pages:] 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.
Subjects: 
term premia
Fed
policy actions
JEL: 
E43
E52
G12
Document Type: 
Article

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