Does monetary policy impact international market co-movements?
- 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.
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| Author: | Massimiliano CaporinORCiDGND, Loriana PelizzonORCiDGND, Alberto PlazziORCiD |
|---|---|
| URN: | urn:nbn:de:hebis:30:3-534520 |
| URL: | https://ssrn.com/abstract=3598166 |
| Parent Title (English): | SAFE working paper series ; No. 276 |
| Series (Serial Number): | SAFE working paper (276) |
| Publisher: | SAFE |
| Place of publication: | Frankfurt am Main |
| Document Type: | Working Paper |
| Language: | English |
| Year of Completion: | 2020 |
| Year of first Publication: | 2020 |
| Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Release Date: | 2020/05/13 |
| Tag: | Comovements; Mundellian trilemma; Quantitative easing; Sovereign credit risk; Unconventional Monetary policy |
| Issue: | May 11, 2020 |
| Page Number: | 61 |
| HeBIS-PPN: | 464987938 |
| Institutes: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
| Wissenschaftliche Zentren und koordinierte Programme / House of Finance (HoF) | |
| Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) | |
| Wissenschaftliche Zentren und koordinierte Programme / Sustainable Architecture for Finance in Europe (SAFE) | |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Sammlungen: | Universitätspublikationen |
| Licence (German): |  Deutsches Urheberrecht |
