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

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  • JOHN AMMER
  • CLARA VEGA
  • JON WONGSWAN

Abstract

This paper analyzes intraday changes in firm‐level equity prices around interest rate announcements to assess the transmission of U.S. monetary policy to the global economy. We document that foreign firms on average are roughly as sensitive to U.S. monetary policy as U.S. firms, although we also find considerable cross‐sectional variation across firms. In particular, foreign stocks in cyclically sensitive industries show stronger responses to interest rate surprises, consistent with a demand channel of policy transmission. In addition, transmission of U.S. policy appears to be stronger to economies with fixed exchange rates. Evidence for a credit channel is weaker.

Suggested Citation

  • John Ammer & Clara Vega & Jon Wongswan, 2010. "International Transmission of U.S. Monetary Policy Shocks: Evidence from Stock Prices," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(s1), pages 179-198, September.
    • Handle: RePEc:wly:jmoncb:v:42:y:2010:i:s1:p:179-198
    DOI: 10.1111/j.1538-4616.2010.00333.x
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