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Unforeseen Events Wait Lurking; Estimating Policy Spillovers From U.S. to Foreign Asset Prices

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  • Tamim Bayoumi
  • Trung T 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.

Suggested Citation

  • Tamim Bayoumi & Trung T Bui, 2011. "Unforeseen Events Wait Lurking; Estimating Policy Spillovers From U.S. to Foreign Asset Prices," IMF Working Papers 11/183, International Monetary Fund.
  • Handle: RePEc:imf:imfwpa:11/183
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    References listed on IDEAS

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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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