Bauer, Michael D.; Neely, Christopher J. - In: Journal of International Money and Finance 44 (2014) C, pp. 24-46
balance effects appear to have played a relatively larger role than in the U.S. and Canada. Portfolio balance effects were … strong yield responses to conventional U.S. monetary policy surprises, and portfolio balance effects are consistent with the … influenced international bond yields. We use dynamic term structure models to uncover to what extent signaling and portfolio …