Template-type: ReDIF-Paper 1.0
Author-Name: Tim D. Maurer
Author-Name-First: Tim D.
Author-Name-Last: Maurer
Author-Name: Dr. Thomas Nitschka
Author-Name-First: Thomas
Author-Name-Last: Nitschka
Author-Person: pni214
Title: Stock market evidence on the international transmission channels of US monetary policy surprises
Abstract: We decompose unexpected movements in the stock market returns of 40 countries into different news components to assess why expansionary US monetary policy surprises are good news for stock markets. Our results suggest that prior to the zero lower bound (ZLB) period, federal funds rate surprises affect foreign stock markets mainly because such surprises are associated with news about future real interest rates. The effects of forward guidance surprises are negligible. At the ZLB, large-scale asset purchases (LSAP) reflect more than commitment to forward guidance. LSAP surprises constitute cash-flow news, while unanticipated forward guidance primarily reflects real interest rate news.
Length: 40 pages
Creation-Date: 2020
Contact-Email: forschung@snb.ch
File-URL: https://www.snb.ch/en/publications/research/working-papers/2020/working_paper_2020_10
File-Format: text/html
Number: 2020-10
Classification-JEL: E44, E52, F36, G15
Keywords: International spillovers, news, monetary policy, stock returns, vector autoregression
Handle: RePEc:snb:snbwpa:2020-10