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

  • Tamim Bayoumi
  • Trung Bui

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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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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  1. Christopher J. Neely, 2010. "The large scale asset purchases had large international effects," Working Papers 2010-018, Federal Reserve Bank of St. Louis.
  2. Thomas Laubach, 2009. "New Evidence on the Interest Rate Effects of Budget Deficits and Debt," Journal of the European Economic Association, MIT Press, vol. 7(4), pages 858-885, 06.
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  9. Andrew Swiston, 2007. "Where Have the Monetary Surprises Gone? the Effects of FOMC Statements," IMF Working Papers 07/185, International Monetary Fund.
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