Monetary policy spillovers through debt currencies

Yancheng Qiu

Economics Letters, 2024, vol. 236, issue C

Abstract: Using high-frequency measures of monetary policy shocks, I show that stock returns for non-US firms with a higher foreign debt ratio systematically respond more to US monetary policy via the exchange rate channel, especially for those firms with dollar-denominated bonds. I do not find similar transmission effects from European Central Bank monetary policy shocks to firms with euro-denominated debt.

Keywords: Foreign currency debt; Exchange rates; Monetary policy shocks; Firm-level data (search for similar items in EconPapers)
JEL-codes: E52 F31 F34 G12 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:236:y:2024:i:c:s0165176524000934

DOI: 10.1016/j.econlet.2024.111610

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