Interest rate swaps and the transmission mechanism of monetary policy: A quantile connectedness approach

Chatziantoniou, 2021, EMU risk-synchronisation and financial fragility through the prism of dynamic connectedness, Q. Rev. Econ. Finance, 79, 1, 10.1016/j.qref.2020.12.003

Chatziantoniou, 2020, From CIP-deviations to a market for risk premia: A dynamic investigation of cross-currency basis swaps, J. Int. Financ. Mark. Inst. Money, 69, 10.1016/j.intfin.2020.101245

Dahlquist, 2013, International bond risk premia, J. Int. Econ., 90, 17, 10.1016/j.jinteco.2012.11.008

Gabauer, 2021, Dynamic measures of asymmetric & pairwise connectedness within an optimal currency area: Evidence from the ERM I system, J. Multinatl. Financ. Manag., 10.1016/j.mulfin.2021.100680

Ilmanen, 1995, Time-varying expected returns in international bond markets, J. Finance, 50, 481, 10.1111/j.1540-6261.1995.tb04792.x

Johansson, 2008, Interdependencies among Asian bond markets, J. Asian Econ., 19, 101, 10.1016/j.asieco.2007.12.015

Koop, 1996, Impulse response analysis in nonlinear multivariate models, J. Econometrics, 74, 119, 10.1016/0304-4076(95)01753-4

Pesaran, 1998, Generalized impulse response analysis in linear multivariate models, Econom. Lett., 58, 17, 10.1016/S0165-1765(97)00214-0

Rogers, 2018, Unconventional monetary policy and international risk premia, J. Money Credit Bank., 50, 1827, 10.1111/jmcb.12511

Sutton, 2000, Is there excess comovement of bond yields between countries?, J. Int. Money Finance, 19, 363, 10.1016/S0261-5606(00)00010-3