US macreconomics information and the International Monetary Cycle

Christoph E. Boehm and T. Niklas Kroner in this Federal Reserve research reveals hos US macroeconomic information imoacts world monetary cycle:

We offer proof for a causal hyperlink between the US financial system and the worldwide monetary cycle. Utilizing intraday information, we present that US macroeconomic information releases have massive and important results on world dangerous asset costs. Inventory value indexes of 27 nations, the VIX, and commodity costs all leap instantaneously upon information releases. The responses of inventory indexes co-move throughout nations and are massive – usually comparable in measurement to the response of the S&P 500. Additional, US macroeconomic information explains on common 23 % of the quarterly variation in international inventory markets. The joint habits of inventory costs, bond yields, and danger premia means that systematic US financial coverage reactions to information don’t drive the estimated results. As an alternative, the proof factors to a direct impact on investor’ risk-taking capability. Our findings present {that a} byproduct of the US’ central place within the world monetary system is that information about its enterprise cycle has massive results on world monetary situations.

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