Interest rates and foreign spillovers

We show that US interest rates are the main source of spillovers globally and less exposed to foreign shocks. European were insulated from during sovereign debt crisis ECB’s more aggressive monetary policies. The 2-year rate is driven by policy demand shocks, which in turn spillover rates. propose a novel approach within SVAR identify country-source type where countries treated symmetrically, using magnitude sign restrictions with impact matrix constrained bounds resulting event-study regressions.