TY  - UNPD
A1  - Caporin, Massimiliano
A1  - Pelizzon, Loriana
A1  - Plazzi, Alberto
T1  - Does monetary policy impact international market co-movements?
T2  - SAFE working paper series ; No. 276
N2  - 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.
T3  - SAFE working paper - 276 
KW  - Unconventional Monetary policy
KW  - Quantitative easing
KW  - Mundellian trilemma
KW  - Comovements
KW  - Sovereign credit risk
Y1  - 2020
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/53452
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-534520
UR  - https://ssrn.com/abstract=3598166
IS  - May 11, 2020
PB  - SAFE
CY  - Frankfurt am Main
ER  -