U.S. Monetary Shocks and Global Stock Prices
Electronic Access:
Free Download. Use the free Adobe Acrobat Reader to view this PDF file
Summary:
This paper studies how U.S. monetary policy affects global stock prices. We find that global stock prices respond strongly to changes in U.S. interest rate policy, with stock prices increasing (decreasing) following unexpected monetary loosening (tightening). This impact is more pronounced for sectors that depend on external financing, and for countries that are more integrated with the global financial market. These findings suggest that financial frictions play an important role in the transmission of monetary policy, and that U.S. monetary policy influences global capital allocation.
Series:
Working Paper No. 2010/278
Subject:
Asset prices Central bank policy rate Financial sector development Stock markets Stocks
Frequency:
Monthly
English
Publication Date:
December 1, 2010
ISBN/ISSN:
9781455210855/1018-5941
Stock No:
WPIEA2010278
Pages:
28
Please address any questions about this title to publications@imf.org