期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2016
出版社：European Central Bank
摘要：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 conventionaland unconventional instruments, i.e. the short rate, the 10 year term premium, andthe 10 year risk-free rate. A new discrete-time arbitrage-free term structure model is used toextract these variables, at a daily frequency during the period covering 2005 to 2016. Relyingon forecast error variance decompositions, following Diebold and Yilmaz (2009), it is foundthat transatlantic spillovers have increased by approximately 11%-points during the examinedperiod, making it more dicult for central banks to directly assess the impact of their policies
关键词：Yield curve modelling; Monetary policy; international spillovers.
