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Title:An empirical analysis of the relationship between US monetary policy and international asset prices PDF Logo
Authors:Herwartz, Helmut
Morales-Arias, Leonardo
Issue Date:2010
Series/Report no.:Kiel working paper 1581
Abstract:This article investigates the empirical relationship between monetary policy in the United States (US) and international equity, bond and real estate security markets for the sample period 01/1994 to 12/2007. The empirical results suggest that equity markets close to the US have a statistically significant response to US monetary policy shocks. The estimated impact of US monetary policy is heterogeneous across countries but statistically significant at the aggregate level in equity and bond markets. The aggregate impact (in absolute terms) and the ‘goodness of fit’ of US monetary policy on international equity and real estate security markets seems to be increasing over time.
Subjects:International asset pricing
monetary policy
identification through heteroskedasticity
recursive Mean Group estimation
bootstrap inference
Document Type:Working Paper
Appears in Collections:Kieler Arbeitspapiere, IfW
Publikationen von Forscherinnen und Forschern des IfW

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