Arbeitspapier

Stock market spillovers via the global production network: Transmission of U.S. monetary policy

We quantify the role of global production linkages in explaining spillovers of U.S. monetary policy shocks to stock returns of fifty-four sectors in twenty-six countries. We first present a conceptual framework based on a standard open-economy production network model that delivers a spillover pattern consistent with a spatial autoregression (SAR) process. We then use the SAR model to decompose the overall impact of U.S. monetary policy on stock returns into a direct and a network effect. We find that up to 80 percent of the total impact of U.S. monetary policy shocks on average country-sector stock returns is due to the network effect of global production linkages. We further show that U.S. monetary policy shocks have a direct impact predominantly on U.S. sectors and then propagate to the rest of the world through the global production network. Our results are robust to controlling for correlates of the global financial cycle, foreign monetary policy shocks, and to changes in variable definitions and empirical specifications.

Sprache
Englisch

Erschienen in
Series: Staff Report ; No. 945

Klassifikation
Wirtschaft
International Financial Markets
Trade: General
Financial Aspects of Economic Integration
Thema
global production network
asset prices
monetary policy shocks

Ereignis
Geistige Schöpfung
(wer)
Di Giovanni, Julian
Hale, Galina
Ereignis
Veröffentlichung
(wer)
Federal Reserve Bank of New York
(wo)
New York, NY
(wann)
2020

Handle
Letzte Aktualisierung
10.03.2025, 11:42 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Di Giovanni, Julian
  • Hale, Galina
  • Federal Reserve Bank of New York

Entstanden

  • 2020

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