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  • Tamim Bayoumi
  • Trung Bui

Abstract

Event studies are used to analyze the impact of U.S. financial, fiscal, and monetary policies from US to foreign asset prices across a range of G20 countries and Switzerland. The initial announcement that the Administration supported tighter regulation of banks led to a generalized fall in advanced economy bank shares compared to local equity markets. For later Dodd-Frank announcements, however, falls in U.S. bank equity prices were accompanied by increases in U.K. and Swiss valuations, implying a potential for regulatory arbitrage. Turning to macro policies, the 2008/9 fiscal and monetary stimulus packages generally supported foreign activity, while the impact of similar stimulus in 2010 is less clear.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 11/183.

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Length: 45
Date of creation: 01 Aug 2011
Date of revision:
Handle: RePEc:imf:imfwpa:11/183

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Keywords: Bank reforms; Banking sector; Financial sector; Group of Twenty; Spillovers; bond yields; bond; foreign bond; equity prices; commodity prices; financial market; risk aversion; foreign equity; stock market; equity returns; equity market; financial markets; equity markets; financial regulation; bonds; financial policies; subsidiaries; capital flows; capital controls; global equity markets; bond market; market bond; capital outflows; capital inflows; price transmission; equity capital; government bonds; bond yield; financial regulations; domestic equity; equity indexes; financial systems; financial assets; emerging market bond; financial economics; global bond; local currency bond; money markets; national equity market; stock markets;

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References

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  3. Yacine Aït-Sahalia & Jochen Andritzky & Andreas Jobst & Sylwia Nowak & Natalia Tamirisa, 2010. "Market Response to Policy Initiatives during the Global Financial Crisis," NBER Working Papers 15809, National Bureau of Economic Research, Inc.
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  6. Roberto Rigobon & Brian Sack, 2001. "Measuring the reaction of monetary policy to the stock market," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2001-14, Board of Governors of the Federal Reserve System (U.S.).
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  9. Reuven Glick & Sylvain Leduc, 2011. "Are large-scale asset purchases fueling the rise in commodity prices?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, Federal Reserve Bank of San Francisco, issue apr4.
  10. Cook, Timothy & Hahn, Thomas, 1989. "The effect of changes in the federal funds rate target on market interest rates in the 1970s," Journal of Monetary Economics, Elsevier, Elsevier, vol. 24(3), pages 331-351, November.
  11. Christopher J. Neely, 2010. "The large scale asset purchases had large international effects," Working Papers, Federal Reserve Bank of St. Louis 2010-018, Federal Reserve Bank of St. Louis.
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Cited by:
  1. Shaun K. Roache & Marina V Rousset, 2013. "Unconventional Monetary Policy and Asset Price Risk," IMF Working Papers 13/190, International Monetary Fund.

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