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Financial market implications of monetary policy coincidences: Evidence from the UK and Euro Area government-bond markets

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  • Arestis, Philip
  • Phelps, Peter

Abstract

Relatively little is known about the financial market impact of international monetary surprises arising on the same trading day. This paper estimates a suite of multi-security factor models, which captures international monetary surprise effects on UK and Euro Area government-bond markets over the period 1999–2014. In doing so, we shed light on the relative importance of coinciding, non-coinciding monetary surprises and non-monetary surprises across the yield curve. We find some support for the ‘enrich-thy-neighbour’ hypothesis of international monetary surprises, while our findings suggest that monetary policy cooperation during crises produces financial market effects that go above and beyond conventional policy.

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  • Arestis, Philip & Phelps, Peter, 2017. "Financial market implications of monetary policy coincidences: Evidence from the UK and Euro Area government-bond markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 49(C), pages 88-102.
    • Handle: RePEc:eee:intfin:v:49:y:2017:i:c:p:88-102
    DOI: 10.1016/j.intfin.2017.02.006
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    More about this item

    Keywords

    International; Monetary policy; Financial markets; Factor model;
    All these keywords.

    JEL classification:

    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
    • F3 - International Economics - - International Finance
    • G1 - Financial Economics - - General Financial Markets

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