"Interest rates and foreign spillovers"
Abstract: We show that medium-term interest rates in the euro area, Japan, UK and US are affected by domestic and foreign shocks. We find that US rates are the main source of spillovers globally and are less exposed to foreign shocks. Foreign spillovers to European rates were negligible only during the sovereign debt crisis and the introduction of more aggressive monetary policies by the ECB. We identify causal relations among asset prices through structural vector autoregressions (SVAR) and magnitude restrictions. We use preliminary regressions on event days to estimate key parameters employed to constrain the structural parameter space of the SVAR.
Roberto De Santis is a Principal Economist in the Capital Markets/Financial Structure division of the Directorate General Economics of the European Central Bank (ECB). He joined the ECB in November 2000 after 3-year working experience as an economist in the Kiel Institute of World Economics. He obtained a PhD in Economics from Warwick University in 1998.
He has written extensively on international macroeconomics and finance. Many of his articles have been published in academic journals such as the Journal of International Economics, European Economic Review, Journal of Banking and Finance, Journal of International Money and Finance, Economic Policy, International Journal of Central Banking and Journal of Empirical Finance. His recent research focuses on global asset price spillovers, effects of unconventional monetary policies and the dynamics of corporate spreads.
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