社会联系
利率
机制(生物学)
货币
利率掉期
货币经济学
经济
分位数
货币政策
掉期(金融)
传输(电信)
金融经济学
计量经济学
计算机科学
财务
心理学
认识论
哲学
电信
心理治疗师
作者
Ioannis Chatziantoniou,David Gabauer,Alexis Stenfors
标识
DOI:10.1016/j.econlet.2021.109891
摘要
We investigate 1-year interest rate swaps on USD, EUR, JPY and GBP between 2005 and 2020 utilising a quantile connectedness model. This approach allows for a nuanced investigation of connectedness and adds to understanding the monetary policy transmission mechanism within a highly integrated international financial system. Substantial interest rate changes (in either direction) matter for connectedness in financial markets. The results also indicate which currency drives developments depending on the direction of the change in interest rates. The full implementation and replication code — based on R, is available at: https://github.com/GabauerDavid/ConnectednessApproach.
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