Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/297319 
Year of Publication: 
2023
Series/Report no.: 
ECB Working Paper No. 2879
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
Abstract: 
We study how monetary policy and risk shocks affect asset prices in the US, the euro area, and Japan, differentiating between "traditional" monetary policy and communication events, each decomposed into "pure" and information shocks. Communication shocks from the US spill over to risk in the euro area and vice versa, but traditional US shocks show no spillover effects to risk. Both monetary policy and communication shocks spill over to stocks, with euro area information spillovers being particularly strong. US spillovers are consistent with global CAPM intuition whereas euro area spillovers are larger. Importantly, we document a strong global component of risk shocks which is not driven by monetary policy.
Subjects: 
Risk
Monetary policy
International spillovers
Global Financial Cycle
Trilemma
Stock returns
Interest rate
Central Bank Communications
JEL: 
E44
E52
G12
G20
E32
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-6256-8
Document Type: 
Working Paper

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