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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. Youta Ishii, 2008. "International transmissions in US-Japanese stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 18(15), pages 1193-1200.
  2. Michael Ehrmann & Marcel Fratzscher & Roberto Rigobon, 2005. "Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission," NBER Working Papers 11166, National Bureau of Economic Research, Inc.
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  8. Aït-Sahalia, Yacine & Andritzky, Jochen & Jobst, Andreas & Nowak, Sylwia & Tamirisa, Natalia, 2012. "Market response to policy initiatives during the global financial crisis," Journal of International Economics, Elsevier, vol. 87(1), pages 162-177.
  9. William Poole & Robert H. Rasche, 2003. "The impact of changes in FOMC disclosure practices on the transparency of monetary policy: are markets and the FOMC better "synched"?," Review, Federal Reserve Bank of St. Louis, issue Jan, pages 1-10.
  10. Joseph Gagnon & Matthew Raskin & Julie Remache & Brian Sack, 2011. "The Financial Market Effects of the Federal Reserve's Large-Scale Asset Purchases," International Journal of Central Banking, International Journal of Central Banking, vol. 7(1), pages 3-43, March.
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