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Author | : Mr.Luc Laeven |
Publisher | : International Monetary Fund |
Total Pages | : 30 |
Release | : 2010-12-01 |
Genre | : Business & Economics |
ISBN | : 1455210854 |
Download U.S. Monetary Shocks and Global Stock Prices Book in PDF, ePub and Kindle
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.
Author | : Paul De Grauwe |
Publisher | : CEPS |
Total Pages | : 22 |
Release | : 2008 |
Genre | : Monetary policy |
ISBN | : 929079819X |
Download Stock Prices and Monetary Policy Book in PDF, ePub and Kindle
The question of whether central banks should target stock prices so as to prevent bubbles and crashes from occurring has been hotly debated. This paper analyses this question using a behavioural macroeconomic model. This model generates bubbles and crashes. It analyses how 'leaning against the wind' strategies, which aim to reduce the volatility of stock prices, can help in reducing volatility of output and inflation. We find that such policies can be effective in reducing macroeconomic volatility, thereby improving the trade-off between output and inflation variability. The strength of this result, however, depends on the degree of credibility of the inflation-targeting regime. In the absence of such credibility, policies aiming at stabilising stock prices do not stabilise output and inflation.
Author | : Hilde C. Bjørnland |
Publisher | : |
Total Pages | : 0 |
Release | : 2010 |
Genre | : |
ISBN | : |
Download Identifying the Interdependence Between US Monetary Policy and the Stock Market Book in PDF, ePub and Kindle
We estimate the interdependence between US monetary policy and the S&P 500 using structural VAR methodology. A solution is proposed to the simultaneity problem of identifying monetary and stock price shocks by using a combination of short-run and long-run restrictions that maintains the qualitative properties of a monetary policy shock found in the established literature (CEE 1999). We find great interdependence between interest rate setting and stock prices. Stock prices immediately fall by 1.5 per cent due to a monetary policy shock that raises the federal funds rate by ten basis points. A stock price shock increasing stock prices by one per cent leads to an increase in the interest rate of five basis points. Stock price shocks are orthogonal to the information set in the VAR model and can be interpreted as non-fundamental shocks. We attribute a major part of the surge in stock prices at the end of the 1990s to these non-fundamental shocks.
Author | : Saroj Bhattarai |
Publisher | : |
Total Pages | : |
Release | : 2017 |
Genre | : |
ISBN | : |
Download US Monetary Policy Spillovers Book in PDF, ePub and Kindle
Author | : |
Publisher | : |
Total Pages | : |
Release | : 2020 |
Genre | : |
ISBN | : |
Download Effects of Anticipated Versus Unanticipated Monetary Shocks on the U.S. Stock Market Book in PDF, ePub and Kindle
Author | : Wensheng Kang |
Publisher | : |
Total Pages | : |
Release | : 2017 |
Genre | : |
ISBN | : |
Download Global Commodity Prices and Global Stock Volatility Shocks Book in PDF, ePub and Kindle
Author | : Ali Ozdagli |
Publisher | : |
Total Pages | : |
Release | : 2014 |
Genre | : |
ISBN | : |
Download Financial Frictions and the Reaction of Stock Prices to Monetary Policy Shocks Book in PDF, ePub and Kindle
Author | : Jordi Galí |
Publisher | : University of Chicago Press |
Total Pages | : 663 |
Release | : 2010-03-15 |
Genre | : Business & Economics |
ISBN | : 0226278875 |
Download International Dimensions of Monetary Policy Book in PDF, ePub and Kindle
United States monetary policy has traditionally been modeled under the assumption that the domestic economy is immune to international factors and exogenous shocks. Such an assumption is increasingly unrealistic in the age of integrated capital markets, tightened links between national economies, and reduced trading costs. International Dimensions of Monetary Policy brings together fresh research to address the repercussions of the continuing evolution toward globalization for the conduct of monetary policy. In this comprehensive book, the authors examine the real and potential effects of increased openness and exposure to international economic dynamics from a variety of perspectives. Their findings reveal that central banks continue to influence decisively domestic economic outcomes—even inflation—suggesting that international factors may have a limited role in national performance. International Dimensions of Monetary Policy will lead the way in analyzing monetary policy measures in complex economies.
Author | : Julian Di Giovanni |
Publisher | : |
Total Pages | : 0 |
Release | : 2021 |
Genre | : |
ISBN | : |
Download Stock Market Spillovers Via the Global Production Network Book in PDF, ePub and Kindle
We quantify the role of global production linkages in explaining spillovers of U.S. monetary policy shocks to stock returns across countries and sectors using a newly constructed dataset. Our estimation strategy is based on a standard open-economy production network model that delivers a spillover pattern consistent with a spatial autoregression (SAR) process. We use the SAR model to decompose the overall impact of U.S. monetary policy on global stock returns into a direct and a network effect. We find that nearly 70% of the total impact of U.S. monetary policy shocks on country-sector stock returns are due to the network effect of global production linkages. Our results are robust to changes in the definitions of stock returns and monetary policy shocks, to controlling for correlates of the global financial cycle, foreign monetary policy shocks, and to alternative empirical specifications.
Author | : Martin Feldstein |
Publisher | : University of Chicago Press |
Total Pages | : 500 |
Release | : 2007-12-01 |
Genre | : Business & Economics |
ISBN | : 0226241807 |
Download International Capital Flows Book in PDF, ePub and Kindle
Recent changes in technology, along with the opening up of many regions previously closed to investment, have led to explosive growth in the international movement of capital. Flows from foreign direct investment and debt and equity financing can bring countries substantial gains by augmenting local savings and by improving technology and incentives. Investing companies acquire market access, lower cost inputs, and opportunities for profitable introductions of production methods in the countries where they invest. But, as was underscored recently by the economic and financial crises in several Asian countries, capital flows can also bring risks. Although there is no simple explanation of the currency crisis in Asia, it is clear that fixed exchange rates and chronic deficits increased the likelihood of a breakdown. Similarly, during the 1970s, the United States and other industrial countries loaned OPEC surpluses to borrowers in Latin America. But when the U.S. Federal Reserve raised interest rates to control soaring inflation, the result was a widespread debt moratorium in Latin America as many countries throughout the region struggled to pay the high interest on their foreign loans. International Capital Flows contains recent work by eminent scholars and practitioners on the experience of capital flows to Latin America, Asia, and eastern Europe. These papers discuss the role of banks, equity markets, and foreign direct investment in international capital flows, and the risks that investors and others face with these transactions. By focusing on capital flows' productivity and determinants, and the policy issues they raise, this collection is a valuable resource for economists, policymakers, and financial market participants.