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dc.creatorCaporin, Massimiliano
dc.creatorPelizzon, Loriana
dc.creatorPlazzi, Alberto
dc.date.accessioned2021-09-28T09:39:57Z
dc.date.available2021-09-28T09:39:57Z
dc.date.issued2020-05-11
dc.identifier.urihttps://fif.hebis.de/xmlui/handle/123456789/2382
dc.description.abstractWe 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.
dc.rightsAttribution-ShareAlike 4.0 International
dc.rights.urihttp://creativecommons.org/licenses/by-sa/4.0/
dc.subjectFinancial Markets
dc.subjectMacro and Finance
dc.titleDoes Monetary Policy Impact International Market Co-Movements?
dc.typeWorking Paper
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/1384?Datastream
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/1456?Markit
dc.source.filename276_SSRN-id3598166
dc.identifier.safeno276
dc.subject.keywordsunconventional monetary policy
dc.subject.keywordsquantitative easing
dc.subject.keywordsmundellian trilemma
dc.subject.keywordscomovements
dc.subject.keywordssovereign credit risk
dc.subject.jelE58
dc.subject.jelG12
dc.subject.jelG15
dc.subject.topic1sign
dc.subject.topic1high
dc.subject.topic1tercile
dc.subject.topic2foscari
dc.subject.topic2decompose
dc.subject.topic2positive
dc.subject.topic3sample
dc.subject.topic3exEvent
dc.subject.topic3mark
dc.subject.topic1nameFiscal Stability
dc.subject.topic2nameSystematic Risk
dc.subject.topic3nameSaving and Borrowing
dc.identifier.doibstract=3598166


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