@techreport{58efa3b9daf142b0aad67e1b2ba17420,
title = "Interest rate swaps and the transmission mechanism of monetary policy: a quantile connectedness approach",
abstract = "We investigate 1-year interest rate swaps on USD, EUR, JPY and GBP between 2005 and 2020 utilising a quantile connectedness model. This approach allows for a nuanced investigation of connectedness and adds to understanding the monetary policy transmission mechanism within a highly integrated international financial system. Substantial interest rate changes (in either direction) matter for connectedness in financial markets. The results also indicate which currency drives developments depending on the direction of the change in interest rates.",
keywords = "interest rate swaps, monetary policy transmission mechanism, quantile vector autoregression",
author = "Ioannis Chatziantoniou and David Gabauer and Alexis Stenfors",
year = "2021",
month = mar,
day = "1",
language = "English",
series = "Working Papers in Economics and Finance",
publisher = "University of Portsmouth",
pages = "1--9",
address = "United Kingdom",
type = "WorkingPaper",
institution = "University of Portsmouth",
}