IMF Working Papers

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

By Tamim Bayoumi, Trung T Bui

August 1, 2011

Download PDF

Preview Citation

Format: Chicago

Tamim Bayoumi, and Trung T Bui. Unforeseen Events Wait Lurking: Estimating Policy Spillovers From U.S. to Foreign Asset Prices, (USA: International Monetary Fund, 2011) accessed September 18, 2024
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.

Subject: Asset prices, Banking, Bond yields, Emerging and frontier financial markets, Financial institutions, Financial markets, Monetary policy, Prices, Stocks, Unconventional monetary policies

Keywords: Africa, Asset prices, Bank excess return, Bond yields, Emerging and frontier financial markets, Equity price, Equity price indicator, Equity return, Europe, Event studies, Excess return, Fed funds rate, Global, Interntational asset price transmission, Market condition, Policy announcements, Price, Stocks, Treasury yield, Treasury yield, Unconventional monetary policies, WP, Yield, Yields matter

Publication Details

  • Pages:

    45

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • Series:

    Working Paper No. 2011/183

  • Stock No:

    WPIEA2011183

  • ISBN:

    9781462309290

  • ISSN:

    1018-5941

You May Also Be Interested In...

Norway: 2024 Article IV Consultation-Press Release; Staff Report; and Statement by the Executive Director for Norway

September 18, 2024

Fiscal Discourse and Fiscal Policy

September 16, 2024

Denmark: 2024 Article IV Consultation-Press Release; Staff Report; and Statement by the Alternate Executive Director for Denmark

September 13, 2024

Denmark: Selected Issues

September 13, 2024