International Transmission of U.S. Monetary Policy Shocks: Evidence from Stock Prices

2010 ◽  
Vol 42 ◽  
pp. 179-198 ◽  
Author(s):  
JOHN AMMER ◽  
CLARA VEGA ◽  
JON WONGSWAN
Keyword(s):  
Monetary Policy ◽  
Stock Prices ◽  
Monetary Policy Shocks ◽  
International Transmission ◽  
Policy Shocks

scholarly journals Spillovers of US Conventional and Unconventional Monetary Policies to Russian Financial Markets

2018 ◽  
Vol 10 (2) ◽  
pp. 14 ◽  
Author(s):  
Shigeki Ono
Keyword(s):  
Monetary Policy ◽  
Financial Markets ◽  
Interest Rates ◽  
Stock Prices ◽  
Monetary Policy Shocks ◽  
Federal Funds Rate ◽  
Monetary Policies ◽  
Endogenous Variables ◽  
Policy Shocks ◽  
Monetary Policy Shock

This paper investigates the spillovers of US conventional and unconventional monetary policies to Russian financial markets using VAR-X models. Impulse responses to an exogenous Federal Funds rate shock are assessed for all the endogenous variables. The empirical results show that both conventional and unconventional tightening monetary policy shocks decrease stock prices whereas an easing monetary policy shock does not increase stock prices. Moreover, the results suggest that an unconventional tightening monetary policy shock increases Russian interest rates and decreases oil prices, implying reduced liquidity in international financial markets.

scholarly journals The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence

2015 ◽  
Vol 7 (1) ◽  
pp. 233-257 ◽  
Author(s):  
Jordi Galí ◽  
Luca Gambetti
Keyword(s):  
Monetary Policy ◽  
Stock Prices ◽  
Equity Premium ◽  
Monetary Policy Shocks ◽  
Conventional View ◽  
Varying Coefficients ◽  
Stock Market Bubbles ◽  
Policy Shocks ◽  
Monetary Policy Shock ◽  
Time Varying Coefficients

We estimate the response of stock prices to monetary policy shocks using a time-varying coefficients VAR. Our evidence points to protracted episodes in which stock prices end up increasing persistently in response to an exogenous tightening of monetary policy. That response is at odds with the “conventional” view on the effects of monetary policy on bubbles, as well as with the predictions of bubbleless models. We also argue that it is unlikely that such evidence can be accounted for by an endogenous response of the equity premium to the monetary policy shock. (JEL E43, E44, E52, G12, G14)

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