Arestis, P and Phelps, P orcid.org/0000-0003-2564-3144 (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. pp. 88-102. ISSN 1873-0612
Abstract
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.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2017 Elsevier B.V. This is an author produced version of a paper published in Journal of International Financial Markets, Institutions and Money. Uploaded in accordance with the publisher's self-archiving policy. |
Keywords: | international; monetary policy; financial markets; factor model |
Dates: |
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Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Business (Leeds) > Economics Division (LUBS) (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 02 Mar 2017 12:48 |
Last Modified: | 01 Mar 2018 01:38 |
Published Version: | https://doi.org/10.1016/j.intfin.2017.02.006 |
Status: | Published |
Publisher: | Elsevier |
Identification Number: | 10.1016/j.intfin.2017.02.006 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:113098 |