Interest rate swaps and the transmission mechanism of monetary policy: a quantile connectedness approach

DOI10.1016/J.ECONLET.2021.109891zbMath1467.91181OpenAlexW3153035093MaRDI QIDQ2036982

Alexis Stenfors, Ioannis Chatziantoniou, David Gabauer

Publication date: 30 June 2021

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://researchportal.port.ac.uk/portal/en/publications/interest-rate-swaps-and-the-transmission-mechanism-of-monetary-policy-a-quantile-connectedness-approach(58efa3b9-daf1-42b0-aad6-7e1b2ba17420).html

zbMATH Keywords

interest rate swapsmonetary policy transmission mechanismquantile vector autoregression

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Macroeconomic theory (monetary models, models of taxation) (91B64) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Uses Software

• GitHub
• Unnamed Item

Cites Work

• Impulse response analysis in nonlinear multivariate models
• Generalized impulse response analysis in linear multivariate models

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