Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/154413
Authors: 
Nyholm, Ken
Year of Publication: 
2016
Series/Report no.: 
ECB Working Paper 1980
Abstract: 
Spillovers between the US and euro area term structures of interest rates are examined. Implications for monetary policy are investigated using term-structure metrics that proxy conventional and unconventional instruments, i.e. the short rate, the 10 year term premium, and the 10 year risk-free rate. A new discrete-time arbitrage-free term structure model is used to extract these variables, at a daily frequency during the period covering 2005 to 2016. Relying on forecast error variance decompositions, following Diebold and Yilmaz (2009), it is found that transatlantic spillovers have increased by approximately 11%-points during the examined period, making it more dicult for central banks to directly assess the impact of their policies.
Subjects: 
international spillovers
monetary policy
yield curve modelling
JEL: 
C32
E43
E58
Document Type: 
Working Paper

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