International Transmission of U.S. Monetary Policy Shocks: Evidence from Stock Prices

John Ammer, Clara Vega and Jon Wongswan

Journal of Money, Credit and Banking, 2010, vol. 42, issue s1, 179-198

Abstract: This paper analyzes intraday changes in firm-level equity prices around interest rate announcements to assess the transmission of U.S. monetary policy to the global economy. We document that foreign firms on average are roughly as sensitive to U.S. monetary policy as U.S. firms, although we also find considerable cross-sectional variation across firms. In particular, foreign stocks in cyclically sensitive industries show stronger responses to interest rate surprises, consistent with a demand channel of policy transmission. In addition, transmission of U.S. policy appears to be stronger to economies with fixed exchange rates. Evidence for a credit channel is weaker. Copyright (c) 2010 The Ohio State University.

Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:mcb:jmoncb:v:42:y:2010:i:s1:p:179-198

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