Does Monetary Policy Impact International Market Co-Movements?
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Datum
2020-05-11
Autor
Caporin, Massimiliano
Pelizzon, Loriana
Plazzi, Alberto
SAFE No.
276
DOI
Metadata
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Zusammenfassung
We show that FED policy announcements lead to a significant increase in international comovements in the cross-section of equity and in particular sovereign CDS markets. The relaxation of unconventionary monetary policies is felt strongly by emerging markets, and by countries that are open to the trading of goods and flows, even in the presence of floating exchange rates. It also impacts closed economies whose currencies are pegged to the dollar. This evidence is consistent with recent theories of a global financial cycle and the pricing of a FED’s put. In contrast, ECB announcements hardly affect comovements, even in the Eurozone.
Forschungsbereich
Financial Markets
Macro and Finance
Macro and Finance
Schlagworte
unconventional monetary policy, quantitative easing, mundellian trilemma, comovements, sovereign credit risk
JEL-Klassifizierung
E58, G12, G15
Forschungsdaten
Thema
Fiscal Stability
Systematic Risk
Saving and Borrowing
Systematic Risk
Saving and Borrowing
Beziehungen
1
Publikationstyp
Working Paper
Link zur Publikation
Collections
- LIF-SAFE Working Papers [334]