Looking Beyond the Fed: Do Central Banks Cause Information Effects?

Cotton, Christopher D.

doi:10.2139/ssrn.4212747

Search citation statements

Order By: Relevance

Paper Sections

Select...

Primary Specification1

Citation Types

Supporting

Mentioning

Contrasting

Year Published

2022

2023

Publication Types

Select...

Article1

Other1

Relationship

Self Cite0

Independent2

Authors

Journals

Cited by 2 publications

(1 citation statement)

References 0 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…I also consider regressions with different interest rate maturities for the dependent and independent variables. Some recent papers challenge the method of identification through monetary policy surprises (Bauer and Swanson 2020, Sastry 2021, Cotton 2022a). However, these critiques apply to the case where the dependent variable is measured at low frequency but not to the case I consider, where the dependent variable is measured in a high-frequency window.…”

Section: Primary Specificationmentioning

confidence: 99%

To What Degree and through Which Channel Do Central Banks Other Than the Federal Reserve Cause Spillovers?

Cotton

2022

SSRN Journal

View full text Add to dashboard Cite

Section: Primary Specificationmentioning

confidence: 99%

To What Degree and through Which Channel Do Central Banks Other Than the Federal Reserve Cause Spillovers?

Cotton

2022

SSRN Journal

View full text Add to dashboard Cite

To What Degree and through Which Channel Do Central Banks Other Than the Federal Reserve Cause Spillovers?

Cotton¹

2023

Federal Reserve Bank of Boston Research Department Working Papers

View full text Add to dashboard Cite

Spillovers play a crucial role in driving monetary policy around the world. The literature focuses predominantly on spillovers from the Federal Reserve. Less attention has been paid to spillovers from other central banks. I measure the degree to which 20 central banks cause spillovers. I show that central banks in medium-to high-income countries cause spillovers to medium-to longterm interest rates in similar countries through a bond-pricing channel. These effects are narrower than spillovers from the Federal Reserve, which also affect emerging markets, shortterm interest rates, and other assets. However, they are still pronounced. Fourteen central banks other than the Federal Reserve cause significant spillovers: the central banks of Australia,

show abstract

Looking Beyond the Fed: Do Central Banks Cause Information Effects?

Cited by 2 publications

References 0 publications

To What Degree and through Which Channel Do Central Banks Other Than the Federal Reserve Cause Spillovers?

To What Degree and through Which Channel Do Central Banks Other Than the Federal Reserve Cause Spillovers?

To What Degree and through Which Channel Do Central Banks Other Than the Federal Reserve Cause Spillovers?

Contact Info

Product

Resources

About