EconPapers    
Economics at your fingertips  
 

Information Shocks in the U.S. and Asset Mispricing in Emerging Economies

Antonia Lopez Villavicencio () and Marc Pourroy
Additional contact information
Antonia Lopez Villavicencio: EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique

Working Papers from HAL

Abstract: We explore whether U.S. monetary policy shocks can lead to create booms and busts of asset prices in emerging economies. Using impulse response function obtained from local projections, we show that the Fed's announcements of a tighter monetary policy lead to strong under-valuations of equity markets in EMEs. However, the information content in a tightening announcement lead to over-valuation in EME's asset prices. We attribute these differences to perceptions of signalling a better-than-expected economic outlook. Finally, we show that real integration influences more than financial integration the propagation of communication shocks.

Keywords: emerging markets; asset mispricing; monetary policy; information channel; local projections (search for similar items in EconPapers)
Date: 2023
Note: View the original document on HAL open archive server: https://hal.science/hal-04159830
References: Add references at CitEc
Citations:

Downloads: (external link)
https://hal.science/hal-04159830/document (application/pdf)

Related works:
Working Paper: Information Shocks in the U.S. and Asset Mispricing in Emerging Economies (2023) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-04159830

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().

 
Page updated 2025-03-22
Handle: RePEc:hal:wpaper:hal-04159830