Unforeseen Events Wait Lurking: Estimating Policy Spillovers From U.S. to Foreign Asset Prices

Tamim Bayoumi and Trung Bui

No 2011/183, IMF Working Papers from International Monetary Fund

Abstract: Event studies are used to analyze the impact of U.S. financial, fiscal, and monetary policies from US to foreign asset prices across a range of G20 countries and Switzerland. The initial announcement that the Administration supported tighter regulation of banks led to a generalized fall in advanced economy bank shares compared to local equity markets. For later Dodd-Frank announcements, however, falls in U.S. bank equity prices were accompanied by increases in U.K. and Swiss valuations, implying a potential for regulatory arbitrage. Turning to macro policies, the 2008/9 fiscal and monetary stimulus packages generally supported foreign activity, while the impact of similar stimulus in 2010 is less clear.

Keywords: WP; yield; price; Event studies; policy announcements; interntational asset price transmission; equity price; fed funds rate; equity return; treasury yield; excess return; market condition; yields matter; equity price indicator; bank excess return; Treasury yield; Emerging and frontier financial markets; Bond yields; Stocks; Unconventional monetary policies; Asset prices; Global; Europe; Africa (search for similar items in EconPapers)
Pages: 45
Date: 2011-08-01
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Citations: View citations in EconPapers (9)

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