Estimates of canonical affine term structure model parameters are highly sensitive to sample periods. For example, depending on whether the sample starts in 1961 or 1981, the 5-5 forward risk-neutral rate for September 1981 differs by 4.6 percentage points or 98% of the latter. The estimated response of this rate to high-frequency monetary policy shocks differs by a factor of three, even within a fixed sample for the monetary policy transmission regression. We suggest that a shifting endpoint model can mitigate these issues. Additionally, we provide new estimates of the effects of monetary policy shocks on long-term risk-neutral rates.

We study the effects of Chinese monetary policy shocks on China's major trading partners in East Asia by estimating structural vector autoregressive (SVAR) models for six economies in the region. We find that a monetary expansion in Mainland China leads to an increase in real GDP (temporary) and the price level (permanent) in a number of economies in our sample, most notably in Hong Kong and the Philippines. The impact could result from intertemporal substitution present in a general equilibrium framework which allows for positive domestic impacts of foreign monetary expansions. Our results emphasize the growing importance of China for its neighboring economies and the significance of Chinese shocks for the design of monetary policy in Asian economies.

The paper analyses monetary policy transmission mechanism in Nigeria. Vector auto-regression model is estimated for the pre-reform and post-reform periods. Variance decompositions and impulse response functions are examined to see whether there are any changes observed in the monetary transmission mechanism after the reforms. Different systems are estimated in each period using alternate variables as measures of monetary policy shocks. When compared results from the two estimation periods, we noted that both the responsiveness of prices and output to policy shocks and the magnitude of their forecast error variance decompositions, explained by these variables, have increased since the reforms. There is evidence of the bank-lending channel both before and after the reforms. Of the mechanisms estimated, the exchange rate and lending mechanisms seem to be the most important mechanisms for transmission of policy shocks to both prices and output during the post-reform period.