The reaction of international stock markets to Federal Reserve policy
This paper investigates how changes in Federal Reserve policy impact international stock returns, with the three objectives of measuring the reaction of international stock markets, understanding the transmission channels of that reaction, and explaining the economic sources of that reaction. We fin...
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sg-ntu-dr.10356-986982023-05-19T06:44:43Z The reaction of international stock markets to Federal Reserve policy Wang, Jing Zhu, Xiaoneng Nanyang Business School DRNTU::Business::Finance This paper investigates how changes in Federal Reserve policy impact international stock returns, with the three objectives of measuring the reaction of international stock markets, understanding the transmission channels of that reaction, and explaining the economic sources of that reaction. We find that unanticipated Federal Reserve policy actions exert a significant and robust influence on international stock prices. However, the influence of unanticipated monetary policy actions is not strong enough to change the correlation structure of international equity returns. We also find that international stock return co-movements play an important role in the transmission of monetary policy. Finally, the variance decomposition analysis indicates that the effects of monetary policy surprises on future excess returns or dividend returns account for the largest portion of the equity price response. 2013-11-07T08:29:06Z 2019-12-06T19:58:36Z 2013-11-07T08:29:06Z 2019-12-06T19:58:36Z 2013 2013 Journal Article Wang, J., & Zhu, X. (2013). The reaction of international stock markets to Federal Reserve policy. Financial markets and portfolio management, 27(1), 1-30. https://hdl.handle.net/10356/98698 http://hdl.handle.net/10220/17410 10.1007/s11408-012-0204-3 en Financial markets and portfolio management |
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DRNTU::Business::Finance Wang, Jing Zhu, Xiaoneng The reaction of international stock markets to Federal Reserve policy |
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This paper investigates how changes in Federal Reserve policy impact international stock returns, with the three objectives of measuring the reaction of international stock markets, understanding the transmission channels of that reaction, and explaining the economic sources of that reaction. We find that unanticipated Federal Reserve policy actions exert a significant and robust influence on international stock prices. However, the influence of unanticipated monetary policy actions is not strong enough to change the correlation structure of international equity returns. We also find that international stock return co-movements play an important role in the transmission of monetary policy. Finally, the variance decomposition analysis indicates that the effects of monetary policy surprises on future excess returns or dividend returns account for the largest portion of the equity price response. |
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Nanyang Business School |
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Nanyang Business School Wang, Jing Zhu, Xiaoneng |
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Wang, Jing Zhu, Xiaoneng |
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Wang, Jing |
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The reaction of international stock markets to Federal Reserve policy |
title_short |
The reaction of international stock markets to Federal Reserve policy |
title_full |
The reaction of international stock markets to Federal Reserve policy |
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The reaction of international stock markets to Federal Reserve policy |
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The reaction of international stock markets to Federal Reserve policy |
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reaction of international stock markets to federal reserve policy |
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2013 |
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https://hdl.handle.net/10356/98698 http://hdl.handle.net/10220/17410 |
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