Independent policy, dependent outcomes: A game of cross-country dominoes across European yield curves
研究了1999年至2021年六种欧洲货币利率互换的动态传导机制，发现欧元和丹麦克朗是主要冲击传递者，且长期利率在非常规货币政策下取代短期利率成为传导核心。
This study investigates the dynamic transmission mechanism between 2Y, 5Y and 10Y interest rate swaps (IRS) for six European currencies (CHF, DKK, EUR, GBP, NOK and SEK) from August 6, 1999 to March 4, 2021 applying the time-varying parameter vector autoregressive connectedness approach in the spirit of Antonakakis et al. (2020). Furthermore, we propose a novel conditional connectedness approach that extends the original framework (Diebold and Yilmaz, 2012, 2014) by analysing dynamic connectedness measures in more depth and improving the interpretability of information concerning the cross-maturity/cross-currency propagation mechanism. We document that EUR and DKK have been the most prominent transmitters of shocks in the network. We also find that the 10Y IRS has increasingly assumed a net-transmitting role at the expense of the 2Y IRS—in line with a shift towards unconventional monetary policy and quantitative easing. From a policy-making perspective, this implies means that the role of the domestic short-term interest rate has become significantly less relevant for the monetary transmission mechanism at the expense of the foreign long-term interest rate.