期刊名称：International Journal of Economic Sciences and Applied Research
印刷版ISSN：1791-5120
电子版ISSN：1791-3373
出版年度：2014
卷号：7
期号：2
页码：7-49
出版社：Kavala Institute of Technology
摘要：This paper proposes a way to study the transmission mechanism of the US monetary policy to foreign yield curves. It elaborates the high-frequency identification of monetary policy shocks from (Piazzesi, 2005) in an international setting. The shocks are extracted from a two-country term structure model and the procedure is illustrated on the US-UK daily data.
