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The Impact of Monetary Policy Surprises on Asset Return Volatility : The Case of Germany
Konrad, Ernst - 2010
This paper investigates the impact of monetary policy surprises by the FED or Bundesbank/ECB on the return volatility … of German stocks and bonds using a GARCH-M model. We show that stock return volatility is susceptible to monetary policy … surprises in the United States, whereas monetary policy surprises in the Euro zone matter for bond return volatility. These …
Persistent link: https://www.econbiz.de/10013142117
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Stock market evidence on the international transmission channels of US monetary policy surprises
Maurer, Tim Dominik; Nitschka, Thomas - 2021
This working paper evaluates the economic sources of the stock market responses of 40 countries to surprises in the fed funds rate (FFR), the Fed's forward guidance (FG) and large-scale asset purchases (LSAP). We decompose stock market returns into different components reflecting investors'...
Persistent link: https://www.econbiz.de/10012520011
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Stock Market Spillovers via the Global Production Network : Transmission of U.S. Monetary Policy
di Giovanni, Julian; Hale, Galina - 2021
We quantify the role of global production linkages in explaining spillovers of U.S. monetarypolicy shocks to stock returns across countries and sectors using a newly constructed dataset.Our estimation strategy is based on a standard open-economy production network model thatdelivers a spillover...
Persistent link: https://www.econbiz.de/10013314344
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Stock market spillovers via the global production network: transmission of U.S. monetary policy
Di Giovanni, Julian; Hale, Galina - 2020
We quantify the role of global production linkages in explaining spillovers of U.S. monetary policy shocks to stock returns of fifty-four sectors in twenty-six countries. We first present a conceptual framework based on a standard open-economy production network model that delivers a spillover...
Persistent link: https://www.econbiz.de/10012309215
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International Transmission of US Monetary Policy Shocks : Are Bond and Stock Markets Different?
Ha, Jongrim - 2019
Using local projection and event studies, I investigate the non-linear effects of US monetary policy shocks on financial asset prices in five advanced economies–Australia, Canada, New Zealand, South Korea, and the United Kingdom–from 1990 to 2014. The international asset prices show evidence...
Persistent link: https://www.econbiz.de/10012863735
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The impact of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic
Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2021
This paper analyses the effects of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic. More specifically, it applies fractional integration methods to analyse their impact on the daily S&P500, the US Treasury Bond Index (USTB), the S&P...
Persistent link: https://www.econbiz.de/10012584220
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The impacts of global risk and US monetary policy on US Dollar exchange rates and excess currency returns
Bernoth, Kerstin; Herwartz, Helmut; Trienens, Lasse - 2023
We examine the causal relationship between US monetary policy shocks, exchange rates and currency excess returns for a sample of eight advanced countries over the period 1980M1 to 2022M11. We find that the dynamics of the US dollar exchange rate is the main driver of currency excess returns. The...
Persistent link: https://www.econbiz.de/10014305726
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The response of stock market volatility to futures-based measures of monetary policy shocks
Gospodinov, Nikolaj; Jamali, Ibrahim - 2014
In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a … vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to … monetary policy shocks. Although the increase in the volatility risk premium, futures-trading volume, and leverage appear to …
Persistent link: https://www.econbiz.de/10010395968
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The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks
Gospodinov, Nikolay - 2015
In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a … vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to … monetary policy shocks. Although the increase in the volatility risk premium, futures-trading volume, and leverage appear to …
Persistent link: https://www.econbiz.de/10013026088
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The Fed's Reaction to the Stock Market During the Great Depression : Fact or Artefact?
Siklos, Pierre L. - 2007
A notable feature of the 1920s and 1930s is the volatility in several key macroeconomic aggregates, and this feature … used to econometrically identify the reaction of the Fed to stock market developments. The volatility of economic activity … developments. Relying on the technique of Rigobon (2003), volatility is used as an instrument to estimate the Fed's response to the …
Persistent link: https://www.econbiz.de/10014061603