Stock market evidence on the international transmission channels of US monetary policy surprises

Tim Maurer () and Thomas Nitschka

Journal of International Money and Finance, 2023, vol. 136, issue C

Abstract: We reveal the economic sources of the stock market responses of 40 countries to US monetary policy surprises by decomposing stock market returns into components reflecting investors’ revisions in expectations (news) about future cash flows and different components of discount rates. US monetary policy surprises have persistent effects on foreign stock markets because they primarily constitute cash flow news. This finding pertains to different measures of the surprises. The liquidity of stock markets and the perceived country risk affect the sensitivities of unexpected stock market returns to the US monetary policy surprises while other country characteristics, e.g., the exchange rate regime, have no effect.

Keywords: International spillovers; News; Monetary policy; Stock returns; Vector autoregression (search for similar items in EconPapers)
JEL-codes: E44 E52 F36 G15 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (2)

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Working Paper: Stock market evidence on the international transmission channels of US monetary policy surprises (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:136:y:2023:i:c:s0261560623000670

DOI: 10.1016/j.jimonfin.2023.102866

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