International monetary policy surprise spillovers

• 成果类型: Article
• 署名作者: Craine, Roger; Martin, Vance L.
• 署名单位: University of California System; University of California Berkeley; University of Melbourne
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2007.06.005
• 发表日期: 2008
• 页码: 180-196
• 关键词: monetary policy surprises; International spillovers; factor model; event studies; biases

摘要

This is the first paper to examine international monetary surprise spillovers and to estimate the response of security prices to monetary and nonmonetary surprises. Monetary surprises have a slope effect on the domestic yield curve-short maturity yields adjust much more than longer maturity yields. These results are similar to other studies. The following results are new. US monetary surprises spill over and affect Australian yields and equity returns. Australian monetary surprises do not spill over to the US. Nonmonetary surprises are much more important than monetary policy surprises in explaining longer maturity yield changes and equity returns. (C) 2007 Elsevier B.V. All rights reserved.