美国-欧元区期限结构溢出效应,对央行的影响

K. Nyholm
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引用次数: 4

摘要

研究了美国和欧元区利率期限结构之间的溢出效应。对货币政策的影响进行了研究,使用期限结构指标,代表传统和非常规工具,即短期利率,10年期期限溢价和10年期无风险利率。一个新的离散时间无套利期限结构模型被用来提取这些变量,在2005年至2016年期间每天的频率。根据预测误差方差分解,继Diebold和Yilmaz(2009)之后,研究发现,在研究期间,跨大西洋溢出效应增加了约11%,这使得央行更难以直接评估其政策的影响。JEL分类:C32, E43, E58
本文章由计算机程序翻译,如有差异,请以英文原文为准。
US-Euro Area Term Structure Spillovers, Implications for Central Banks
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. JEL Classification: C32, E43, E58
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