Federal reserve's policy, global equity markets, and the local monetary policy stance

Georgios Chortareas and Emmanouil Noikokyris

Journal of Banking & Finance, 2017, vol. 77, issue C, 317-327

Abstract: This paper examines the extent to which local monetary policy stance determines the strength of US monetary policy international transmission to global equities. Using a sample of 35 countries, we document that US monetary policy surprises exert significant inverse effects on global equity returns. Our results suggest that countries whose policy rates are brought into line with that of the US are less sensitive to US monetary policy shocks only when they have a high and intermediate level of cross-border financial linkages, and only when they have a low and intermediate level of exchange rate volatility.

Keywords: Equity markets; US monetary policy shocks; International transmission of monetary policy (search for similar items in EconPapers)
JEL-codes: E52 F30 G14 G15 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:77:y:2017:i:c:p:317-327

DOI: 10.1016/j.jbankfin.2016.04.026

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