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

Tim Maurer () and Thomas Nitschka

No 2020-10, Working Papers from Swiss National Bank

Abstract: We decompose unexpected movements in the stock market returns of 40 countries into different news components to assess why expansionary US monetary policy surprises are good news for stock markets. Our results suggest that prior to the zero lower bound (ZLB) period, federal funds rate surprises affect foreign stock markets mainly because such surprises are associated with news about future real interest rates. The effects of forward guidance surprises are negligible. At the ZLB, large-scale asset purchases (LSAP) reflect more than commitment to forward guidance. LSAP surprises constitute cash-flow news, while unanticipated forward guidance primarily reflects real interest rate news.

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)
Pages: 40 pages
Date: 2020
New Economics Papers: this item is included in nep-cba, nep-fmk, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.snb.ch/en/publications/research/workin ... orking_paper_2020_10 (text/html)

Related works:
Journal Article: Stock market evidence on the international transmission channels of US monetary policy surprises (2023)
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:snb:snbwpa:2020-10

Access Statistics for this paper

More papers in Working Papers from Swiss National Bank Contact information at EDIRC.
Bibliographic data for series maintained by Enzo Rossi ().