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Monetary policy spillovers through debt currencies

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  • Qiu, Yancheng

Abstract

Using high-frequency measures of monetary policy shocks, I show that stock returns for non-US firms with a higher foreign debt ratio systematically respond more to US monetary policy via the exchange rate channel, especially for those firms with dollar-denominated bonds. I do not find similar transmission effects from European Central Bank monetary policy shocks to firms with euro-denominated debt.

Suggested Citation

  • Qiu, Yancheng, 2024. "Monetary policy spillovers through debt currencies," Economics Letters, Elsevier, vol. 236(C).
    • Handle: RePEc:eee:ecolet:v:236:y:2024:i:c:s0165176524000934
    DOI: 10.1016/j.econlet.2024.111610
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    More about this item

    Keywords

    Foreign currency debt; Exchange rates; Monetary policy shocks; Firm-level data;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F34 - International Economics - - International Finance - - - International Lending and Debt Problems
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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