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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'...
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approach, combined with Fama-MacBeth style cross-section regressions, to identify a US monetary policy shock series that …
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and the stock market in the US around FOMC announcements. A restrictive monetary policy shock in the US is identified by … an increase in the interest rate and a drop in stock prices, while a positive information shock is identified when both …
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