Unconventional Monetary Policy and International Risk Premia
We assess the relationship between monetary policy, foreign exchange risk premia, and term premia including the period at the zero lower bound (ZLB). We estimate a structural vector autoregression including U.S. and foreign interest rates and exchange rates and identify monetary policy shocks throug...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Blackwell Publishing Inc.
2018
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| Subjects: | |
| Online Access: | View Fulltext in Publisher |