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Interest rates and foreign spillovers
Gespeichert in:
| Personen und Körperschaften: | , |
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| Titel: | Interest rates and foreign spillovers/ Roberto A. De Santis, Srečko Zimic |
| Format: | E-Book |
| Sprache: | Englisch |
| veröffentlicht: |
Frankfurt am Main, Germany
European Central Bank
[2019]
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| Gesamtaufnahme: |
Europäische Zentralbank: Working paper series ; no 2221 (January 2019)
|
| Quelle: | Verbunddaten SWB Lizenzfreie Online-Ressourcen |
| Zusammenfassung: | We show that medium-term interest rates in the euro area, Japan, UK and US are affected by domestic and foreign shocks. We find that US rates are the main source of spillovers globally and are less exposed to foreign shocks. Foreign spillovers to European rates were negligible only during the sovereign debt crisis and the introduction of more aggressive monetary policies by the ECB. We identify causal relations among asset prices through structural vector autoregressions (SVAR) and magnitude restrictions. We use preliminary regressions on event days to estimate key parameters employed to constrain the structural parameter space of the SVAR. |
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| Umfang: | 1 Online-Ressource (circa 51 Seiten); Illustrationen |
| ISBN: |
9789289934831
9289934832 |
| DOI: | 10.2866/097178 |