Kishor, N. Kundan; Marfatia, Hardik A. - In: Journal of International Financial Markets, … 24 (2013) C, pp. 1-24
In this paper, we estimate the time-varying response of foreign stock markets to U.S. monetary policy shocks derived from the high-frequency Federal funds futures market. Our results show significant time-variation in the response of the global equity markets to U.S. monetary policy surprises,...