Pré-Publication, Document De Travail Année : 2023

Information Shocks in the U.S. and Asset Mispricing in Emerging Economies

Résumé

We explore whether U.S. monetary policy shocks can lead to create booms and busts of asset prices in emerging economies. Using impulse response function obtained from local projections, we show that the Fed's announcements of a tighter monetary policy lead to strong under-valuations of equity markets in EMEs. However, the information content in a tightening announcement lead to over-valuation in EME's asset prices. We attribute these differences to perceptions of signalling a better-than-expected economic outlook. Finally, we show that real integration influences more than financial integration the propagation of communication shocks.

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Dates et versions

hal-04159830 , version 1 (12-07-2023)

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  • HAL Id : hal-04159830 , version 1

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Antonia Lopez Villavicencio, Marc Pourroy. Information Shocks in the U.S. and Asset Mispricing in Emerging Economies. 2023. ⟨hal-04159830⟩
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