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- W2168091001 abstract "We examine the impact and possible spillovers efiects of unanticipated monetary policy on international bond returns. First, we decompose international bond returns into news regarding future returns, real interest rates and future in∞ation in the spirit of Campbell and Ammer (1993) for Germany, the UK and the US. We next assess how excess bond returns in these three countries are afiected by surprise changes in monetary policy in each country. Our measure of the unanticipated element of monetary policy is based on futures markets rather than the more traditional vector autoregression. Our results indicate that excess bond returns primarily react to domestic as compared to foreign monetary policy surprises. We also flnd there is a strong divergence between the efiects of domestic monetary on excess bond returns in Germany relative to the UK with a surprise monetary tightening in former(latter) leading to a rise(fall) in the excess holding period return and this appears to be driven by news regarding lower(higher) in∞ation expectations and could be potentially rationalised by difierences in the credibility of the monetary policy authority in each country." @default.
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- W2168091001 date "2010-10-01" @default.
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- W2168091001 title "Monetary policy surprises and international bond markets" @default.
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- W2168091001 doi "https://doi.org/10.1016/j.jimonfin.2010.02.005" @default.
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