7-49

• Mirkov, Nikola

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.

• Economics and Business

• Economics
• Finance
• Economic policy

term premia, Fed, policy actions

JEL Classification: E43, E52, G12, Περιέχει βιβλιογραφία, παράρτημα, πίνακες και διαγράμματα

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