International Transmission of U.S. Monetary Policy Shocks: Evidence from Stock Prices
利用日内企业股价数据，发现外国公司对美国货币政策的敏感度平均与美国公司相当，但周期性行业和固定汇率制国家的企业反应更强，需求渠道传导明显，信贷渠道证据较弱。
This paper analyzes intraday changes in firm‐level equity prices around interest rate announcements to assess the transmission of U.S. monetary policy to the global economy. We document that foreign firms on average are roughly as sensitive to U.S. monetary policy as U.S. firms, although we also find considerable cross‐sectional variation across firms. In particular, foreign stocks in cyclically sensitive industries show stronger responses to interest rate surprises, consistent with a demand channel of policy transmission. In addition, transmission of U.S. policy appears to be stronger to economies with fixed exchange rates. Evidence for a credit channel is weaker.