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 Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Administrator |
| Date Deposited: | 25 Mar 2019 11:30 |
| Last Modified: | 02 Aug 2023 17:49 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/26854 |
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