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The time-varying response of foreign stock markets to U.S. monetary policy surprises: Evidence from the Federal funds futures market

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  • Kishor, N. Kundan
  • Marfatia, Hardik A.

Abstract

In this paper, we estimate the time-varying response of foreign stock markets to U.S. monetary policy shocks derived from the high-frequency Federal funds futures market. Our results show significant time-variation in the response of the global equity markets to U.S. monetary policy surprises, where an unanticipated interest rate cut leads to an increase in stock returns. Our findings suggest that the foreign stock markets respond more to U.S. monetary policy surprises during the crisis periods. We also find that the stock markets in Europe and the U.S. responded negatively to unanticipated interest rate cuts by the Fed during the recent financial crisis.

Suggested Citation

  • Kishor, N. Kundan & Marfatia, Hardik A., 2013. "The time-varying response of foreign stock markets to U.S. monetary policy surprises: Evidence from the Federal funds futures market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 1-24.
    • Handle: RePEc:eee:intfin:v:24:y:2013:i:c:p:1-24
    DOI: 10.1016/j.intfin.2012.11.004
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    15. ERER, Elif & ERER, Deniz, 2017. "Long Memory In Turkish Stock Market And Effects Of Central Banks’ Announcements," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 21(3), pages 6-18.
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    18. Saba Ndayezhin Danladi, 2022. "Spillover Effects of US Monetary Policy and Macreconomic Conditions in Nigeria: Evidence from Time-Varying Parameter Structural Vector Autoregression (TVP-SVAR)," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(2), pages 101-120.
    19. Muhammad Ali Nasir & Muhammad Shahbaz & Trinh Thi Mai & Moade Shubita, 2021. "Development of Vietnamese stock market: Influence of domestic macroeconomic environment and regional markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1435-1458, January.
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    21. Anderson, Hamish D. & Balli, Faruk & Godber, Cara, 2018. "The effect of macroeconomic announcements at a sectoral level in the US and European Union," Research in International Business and Finance, Elsevier, vol. 44(C), pages 256-272.
    22. Stylianos X. Koufadakis, 2015. "Asymmetries on Closed End Country Funds Premium and Monetary Policy Announcements: An Approach Trough the Perspective of Foreign Countries," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 65(3-4), pages 29-65, july-Dece.
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    More about this item

    Keywords

    Fed funds futures market; Monetary policy; Stock returns; Time-varying parameter model;
    All these keywords.

    JEL classification:

    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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