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

Author/Editor: Tamim Bayoumi ; Trung Bui
Publication Date: August 01, 2011
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Disclaimer: This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate
Summary: 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.
Series: Working Paper No. 11/183
Subject(s): Bank reforms | Banking sector | Financial sector | Group of Twenty | Spillovers

Author's Keyword(s): Event studies | policy announcements | interntational asset price transmission
Publication Date: August 01, 2011
ISBN/ISSN: 9781462309290/1018-5941 Format: Paper
Stock No: WPIEA2011183 Pages: 45
US$18.00 (Academic Rate:
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