The international impact of US unconventional monetary policy

被引：5
|
作者：
Lutz, Chandler [1 ]
机构：
[1] Copenhagen Business Sch, Dept Econ, Copenhagen, Denmark
来源：
APPLIED ECONOMICS LETTERS | 2015年 / 22卷 / 12期
关键词：
E52; F42; E58; F33; international financial markets; unconventional monetary policy; INTEREST-RATES;
D O I：
10.1080/13504851.2014.990616
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
引用
收藏
页码：955 / 959
页数：5
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