What Did the Fed Really Say? Evidence from Global Equities

What Did the Fed Really Say? Evidence from Global Equities

• Autor
• João Fernandes
• Co-autores
• Aquiles Kalatzis , Karine Borri
• Resumo

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  When the Federal Reserve surprises markets, what matters for international equity valuations is not the direction of the surprise but its economic content. We decompose 205 FOMC announcements (2000–2024) into Monetary Policy (MP) and Central Bank Information (CBI) shocks following Jarocinski and Karadi (2020) and trace their transmission to equity markets in Germany, Brazil, Hong Kong, and India. Two results emerge. First, spillovers are sign-heterogeneous: contractionary MP shocks generate a trilemma-consistent hierarchy of negative responses, while CBI shocks produce opposite effects depending on whether recipient economies complement or compete with U.S. production. Commodity exporters respond positively to growth news, whereas economies competing for global capital respond negatively. Second, these patterns are remarkably stable across regimes, despite major changes in U.S. monetary policy. The findings imply that international transmission depends on the informational content of policy announcements and on structural economic linkages, rather than on the policy stance alone.

   

• Palavras-chave
• Federal Reserve information shocks, Monetary policy spillovers, Central bank communication, International equity transmission, Complementarity versus substitution, Bayesian local projections, Cross-fitting inference
• Modalidade
• Comunicação oral
• Área Temática
• Macrofinanças

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