The Fed and the Rest: International Spillover Effects of U.S Monetary Policy Announcements

In this research I investigated, at first, whether the monetary policy (conventional or unconventional) shocks in the United States have significant effects on the financial asset price (equity prices, bond yields, and exchange rates) in the rest of the world, then evaluated to what extent the response of foreign asset prices to US monetary surprises vary across advanced and non-advanced countries and how these reactions changed in conventional (1996-2008) and unconventional monetary policy times (2008 - 2017). Overall, I found that the international spillovers from US monetary policy shocks are substantial; moreover, it showed that in many countries the effects of spillovers on the markets are higher than the domestic impact in the US itself.