US-Ger
12
10
8
EE
US/GE ρ0,k
00 1 2 3 4 5
years
US-UK
US-Japan
8
6
4
8
6
c 4
BIG
4
2
0
-2
-4
4
2
O
O
US/JP ρ0,k
20 1 2 3 4 5
years
US/JP ρ0,k
Eich.-Evans
-4
-60 1 2 3 4 5
years
US/UK ρtlk
3
2
1
O
-1
-2
-3
0 1 2 3 4 5
years
Figure 9: Impulse responses for the forward discount premium ρk , conditional
on a US monetary policy contraction.
EE
BIG
Eich.-Evans
US-Ger
US/GE SR
US-UK
US/UK SR
V
0 12 3 4
years
US-Japan
Figure 10: Impulse responses for the Sharpe ratio of a Bayesian investor,
conditional on a US monetary policy contraction.
43
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