Using local projection and event studies, this paper investigates the nonlinear effects of U.S. monetary policy shocks on financial‐asset prices in 10 advanced economies from 1990 to 2014. The international asset prices show evidence of the asymmetric or state‐dependent propagation of U.S. monetary shocks. Moreover, the results indicate that the nature of the nonlinearity in the propagation of the shocks differs across two asset classes, bond yields, and equity prices. Contractionary U.S. monetary policy shocks are quite influential in sovereign bond markets, while their impacts are largely insignificant in stock markets; the opposite is true for expansionary monetary policy shocks. These results are typical across open economies and suggest that U.S. monetary announcements and the subsequent reactions of international risk premiums may play a critical role in international shock propagation.

中文翻译：

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美国货币政策冲击向国际金融市场的非线性传导

本文使用局部预测和事件研究，研究了1990年至2014年美国货币政策冲击对10个发达经济体金融资产价格的非线性影响。国际资产价格显示了美国货币冲击的不对称或国家依赖的扩散迹象。 。此外，结果表明，冲击传播的非线性性质在两个资产类别，债券收益率和股票价格之间有所不同。美国的紧缩性货币政策冲击在主权债券市场上具有相当大的影响力，而其冲击在股票市场上却微不足道。扩张性货币政策冲击则相反。这些结果在所有开放经济体中都是典型的，这表明美国