Veranstaltung
24
OCT 2022

14:15 - 15:45
IWH Research Seminar

The US, Economic News, and the Global Financial Cycle

We provide evidence for a causal link between the US economy and the global nancial cycle. Using a unique intraday dataset, we show that US macroeconomic news releases have large and signicant eects on global risky asset prices.

Who
Christoph E. Boehm  (The University of Texas at Austin)
Where
via Zoom
Christoph E. Boehm

Personal details

Christoph E. Boehm is an assistant professor at UT Austin and Faculty Research Fellow at the NBER.

We provide evidence for a causal link between the US economy and the global financial cycle. Using a unique intraday dataset, we show that US macroeconomic news releases have large and significant effects on global risky asset prices. Stock price indexes of 27 countries, the VIX, and commodity prices all jump instantaneously upon news releases. The responses of stock indexes co-move across countries and are large often comparable in size to the response of the S&P 500. Further, US macroeconomic news frequently explains more than 15% of the quarterly variation in foreign stock markets. The joint behavior of stock prices and long-term bond yields suggests that systematic US monetary policy reactions to news do not drive the estimated effects. Instead, the evidence is consistent with a direct effect on investors’ risk-taking capacity. Our findings show that a byproduct of the United States’ central position in the global financial system is that news about its business cycle has large effects on global financial conditions.

To join the lecture via ZOOM, please contact Alessandro Sardone.

Whom to contact

Alessandro Sardone
Alessandro Sardone
Economist

If you have any further questions please contact me.

+49 345 7753-772 Request per E-Mail
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