Stock Market Evidence on the International Transmission Channels of US Monetary Policy

Tim D. Maurer, Thomas Nitschka

Publikation: Working paperForskning

Abstrakt

We decompose unexpected movements in the stock market returns of 40 countries into different news components to assess why expansionary US monetary policy surprises are good news for stock markets. Our results suggest that prior to the zero lower bound (ZLB) period, federal funds rate surprises affect foreign stock markets mainly because such surprises are associated with news about future real interest rates. The effects of forward guidance surprises are negligible. At the ZLB, large-scale asset purchases (LSAP) reflect more than commitment to forward guidance. LSAP surprises constitute cash-flow news, while unanticipated forward guidance primarily reflects real interest rate news.
OriginalsprogEngelsk
UdgivelsesstedZurich
UdgiverSwiss National Bank
Antal sider40
StatusUdgivet - 2020
NavnSNB Working Papers
Nummer10/2020
ISSN1660-7716

Emneord

  • International spillovers
  • News
  • Monetary policy
  • Stock returns
  • Vector autoregression

Citationsformater