What Explains International Interest Rate Co‐Movement?
研究了国际利率联动的原因，发现其反映商业周期波动，主要由需求冲击驱动，而发达经济体货币政策仅关注国内通胀和产出缺口，不响应外国政策冲击。
ABSTRACT The international co‐movement of interest rates reflects correlated business‐cycle fluctuations, largely driven by demand shocks. Monetary policy in advanced economies follows domestic mandates—inflation and the output gap—and does not respond to foreign policy shocks. We derive this result from a Bayesian structural panel vector autoregression with informative priors, homogeneity restrictions on contemporaneous relations, a hierarchical Minnesota prior with cross‐sectional shrinkage, and a factor structure for structural shocks.