An empirical analysis of the relationship between US monetary policy and international asset prices

Helmut Herwartz and Leonardo Morales-Arias

No 1581, Kiel Working Papers from Kiel Institute for the World Economy (IfW Kiel)

Abstract: This article investigates the empirical relationship between monetary policy in the United States (US) and international equity, bond and real estate security markets for the sample period 01/1994 to 12/2007. The empirical results suggest that equity markets close to the US have a statistically significant response to US monetary policy shocks. The estimated impact of US monetary policy is heterogeneous across countries but statistically significant at the aggregate level in equity and bond markets. The aggregate impact (in absolute terms) and the 'goodness of fit' of US monetary policy on international equity and real estate security markets seems to be increasing over time.

Keywords: International asset pricing; monetary policy; identification through heteroskedasticity; recursive Mean Group estimation; bootstrap inference (search for similar items in EconPapers)
JEL-codes: E44 G12 G15 (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/30035/1/618603883.pdf (application/pdf)

Related works:
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:zbw:ifwkwp:1581

Access Statistics for this paper

More papers in Kiel Working Papers from Kiel Institute for the World Economy (IfW Kiel) Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().