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

Tim D. Maurer, Thomas Nitschka

Research output: Working paperResearch


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.
Original languageEnglish
Place of PublicationZurich
PublisherSwiss National Bank
Number of pages40
Publication statusPublished - 2020
SeriesSNB Working Papers


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

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