Financial market implications of monetary policy coincidences: Evidence from the UK and Euro Area government-bond markets
Journal of International Financial Markets, Institutions and Money
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Arestis, P., & Phelps, P. (2017). Financial market implications of monetary policy coincidences: Evidence from the UK and Euro Area government-bond markets. Journal of International Financial Markets, Institutions and Money, 49 88-102. https://doi.org/10.1016/j.intfin.2017.02.006
Relatively little is known about the financial market impact of international monetary surprises arising on the same trading day. This paper estimates a suite of multi-security factor models, which captures international monetary surprise effects on UK and Euro Area government-bond markets over the period 1999–2014. In doing so, we shed light on the relative importance of coinciding, non-coinciding monetary surprises and non-monetary surprises across the yield curve. We find some support for the ‘enrich-thy-neighbour’ hypothesis of international monetary surprises, while our findings suggest that monetary policy cooperation during crises produces financial market effects that go above and beyond conventional policy.
international, monetary policy, financial markets, factor model
External DOI: https://doi.org/10.1016/j.intfin.2017.02.006
This record's URL: https://www.repository.cam.ac.uk/handle/1810/264327