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    The effect of monetary policy on global fixed income covariances

    Wohlfarth, Paul and Chen, X. (2018) The effect of monetary policy on global fixed income covariances. Working Paper. Birkbeck, University of London, London, UK.

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    Abstract

    We analyse the effect of monetary policy on dynamic covariances on global fixed income markets, using a novel measure for monetary policy attention based on Google Search data. We filter covariances using a Dynamic Conditional Correlation model as baseline case and a BEKK model as well as a long-memory exponential smoother proposed by RiskMetrics for robustness. We find evidence for direct impact of policy on both asset variances and covariances domestically and internationally, supporting both signalling and portfolio rebalancing channels in the context of international policy transmission.

    Metadata

    Item Type: Monograph (Working Paper)
    Additional Information: BWPEF 1801
    Keyword(s) / Subject(s): attention, internet search, Google, monetary policy, ECB, FED, policy effects, international financial markets, macro-finance, sovereign bonds, international finance, bond markets
    School: Birkbeck Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Administrator
    Date Deposited: 25 Mar 2019 11:30
    Last Modified: 24 Jun 2020 17:17
    URI: http://eprints.bbk.ac.uk/id/eprint/26854

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