Stock market spillovers via the global production network: Transmission of U.S. monetary policy
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- dc.contributor.author di Giovanni, Julian
- dc.contributor.author Hale, Galina
- dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
- dc.date.accessioned 2024-11-14T10:09:46Z
- dc.date.available 2024-11-14T10:09:46Z
- dc.date.issued 2020-10-19
- dc.date.modified 2024-11-14T10:07:19Z
- dc.description.abstract We quantify the role of global production linkages in explaining spillovers of U.S. monetary policy shocks to stock returns of 54 sectors in 26 countries. We first present a conceptual framework based on a standard open-economy production network model that delivers a spillover pattern consistent with a spatial autoregression (SAR) process. We then use the SAR model to decompose the overall impact of U.S. monetary policy on stock returns into a direct and a network effect. We find that up to 80% of the total impact of U.S. monetary policy shocks on average country-sector stock returns are due to the network effect of global production linkages. We further show that U.S. monetary policy shocks have a direct impact predominantly on U.S. sectors and then propagate to the rest of the world through the global production network. Our results are robust to controlling for correlates of the global financial cycle, foreign monetary policy shocks, and to changes in variable definitions and empirical specifications.
- dc.format.mimetype application/pdf*
- dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=1747
- dc.identifier.citation
- dc.identifier.uri http://hdl.handle.net/10230/68603
- dc.language.iso eng
- dc.relation.ispartofseries Economics and Business Working Papers Series; 1747
- dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
- dc.rights.accessRights info:eu-repo/semantics/openAccess
- dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
- dc.subject.keyword global production network
- dc.subject.keyword asset prices
- dc.subject.keyword monetary policy shocks
- dc.subject.keyword Macroeconomics and International Economics
- dc.title Stock market spillovers via the global production network: Transmission of U.S. monetary policy
- dc.title.alternative
- dc.type info:eu-repo/semantics/workingPaper