Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/217221
Authors: 
Caporin, Massimiliano
Pelizzon, Loriana
Plazzi, Alberto
Year of Publication: 
2020
Series/Report no.: 
SAFE Working Paper No. 276
Abstract: 
We show that FED policy announcements lead to a significant increase in international comovements in the cross-section of equity and in particular sovereign CDS markets. The relaxation of unconventionary monetary policies is felt strongly by emerging markets, and by countries that are open to the trading of goods and flows, even in the presence of floating exchange rates. It also impacts closed economies whose currencies are pegged to the dollar. This evidence is consistent with recent theories of a global financial cycle and the pricing of a FED's put. In contrast, ECB announcements hardly affect comovements, even in the Eurozone.
Subjects: 
Unconventional Monetary policy
Quantitative easing
Mundellian trilemma
Comovements
Sovereign credit risk
JEL: 
E58
G12
G15
Document Type: 
Working Paper

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