Arbeitspapier
Global financial transmission of monetary policy shocks
The paper shows that US monetary policy has been an important determinant of global equity markets. Analysing 50 equity markets worldwide, we find that returns fall on average around 3.8% in response to a 100 basis point tightening of US monetary policy, ranging from a zero response in some to a reaction of 10% or more in other countries, as well as significant cross-sector heterogeneity. Distinguishing different transmission channels, we find that in particular the transmission via US and foreign short-term interest rates and the exchange rate play an important role. As to the determinants of the strength of transmission to individual countries, we test the relevance of their macroeconomic policies and the degree of real and financial integration, thus linking the strength of asset price transmission to underlying trade and asset holdings, and find that in particular the degree of global integration of countries – and not a country’s bilateral integration with the United States – is a key determinant for the transmission process.
- Language
-
Englisch
- Bibliographic citation
-
Series: ECB Working Paper ; No. 616
- Classification
-
Wirtschaft
Financial Aspects of Economic Integration
International Finance: General
International Financial Markets
- Subject
-
advanced economies
emerging market economies
financial integration
global financial markets
monetary policy
transmission
United States
Internationaler Finanzmarkt
Globalisierung
Geldpolitik
Geldpolitische Transmission
International
Zinsderivat
Wechselkurspolitik
USA
Industrieländer
Schwellenländer
- Event
-
Geistige Schöpfung
- (who)
-
Ehrmann, Michael
Fratzscher, Marcel
- Event
-
Veröffentlichung
- (who)
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European Central Bank (ECB)
- (where)
-
Frankfurt a. M.
- (when)
-
2006
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Ehrmann, Michael
- Fratzscher, Marcel
- European Central Bank (ECB)
Time of origin
- 2006
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