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

Author/Editor:

Tamim Bayoumi ; Trung T Bui

Publication Date:

August 1, 2011

Electronic Access:

Free Download. Use the free Adobe Acrobat Reader to view this PDF file

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. 2011/183

Subject:

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

English

Publication Date:

August 1, 2011

ISBN/ISSN:

9781462309290/1018-5941

Stock No:

WPIEA2011183

Pages:

45

Please address any questions about this title to publications@imf.org