MONETARY POLICY IN THE CAPITALS OF CAPITAL

• 成果类型: Article
• 署名作者: Gerko, Elena; Rey, Helene
• 署名单位: University of London; London Business School
• 刊物名称: JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
• ISSN/ISSBN: 1542-4766
• DOI: 10.1093/jeea/jvx022
• 发表日期: 2017
• 页码: 721-745
• 关键词: transmission mechanism; risk-taking; surprises; channels; COSTS; MODEL

摘要

The importance of financial markets and international capital flows has increased greatly since the 1990s. How does this affect the effectiveness of monetary policy? We analyse the transmission of monetary policy in two important financial centres, the United States and the United Kingdom. Studying the responses of mortgage and corporate spreads, we find evidence in favour of an important financial channel in both countries. Our identification strategy allows us to study the effect of movements in the policy instruments and forward guidance, broadly defined. We also analyse international financial spillovers, which we find to be asymmetric.