• Media type: Report; E-Book
  • Title: Risk, monetary policy and asset prices in a global world
  • Contributor: Bekaert, Geert [Author]; Hoerova, Marie [Author]; Xu, Nancy R. [Author]
  • Published: Frankfurt a. M.: European Central Bank (ECB), 2023
  • Language: English
  • DOI: https://doi.org/10.2866/566624
  • ISBN: 978-92-899-6256-8
  • Keywords: Trilemma ; Stock returns ; G20 ; G12 ; Central Bank Communications ; Interest rate ; Global Financial Cycle ; Monetary policy ; International spillovers ; Risk ; E32 ; E52 ; E44
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  • Description: 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.
  • Access State: Open Access