The daily transmission of U.S. comprehensive stock indices to foreign stock markets has been studied extensively, but the transmission may just be that the foreign stock prices respond to news underlying the change in the U.S. stock indices. Besides the regularly economic announcements, news relevant for the U.S. economy may include qualitative news and non-economic events. Due the daily nature of the news, there is no appropriate reference as to its impact on the U.S. or foreign economy and the only accessible reference probably is the change in the financial asset prices. But the U.S. stock index is general in nature and cannot be used to offer specific information about the U.S. economy. Some U.S. asset prices other than stock indices may reveal more specific information about the U.S. economy. Looking into the daily relationship between these U.S. asset prices and stock indices of four American countries in two periods with drastically different economic conditions, this study finds that the daily relationship between these U.S. asset prices and foreign stock prices is consistent with the prevailing U.S. economic fundamentals. From the relationship we identify some U.S. economic conditions foreign stock prices respond to. These economic conditions include real economic shocks, monetary policies, and business default risks.

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美国资产价格与美洲国家股票价格的日常关系


美国综合股指每日向外国股票市场的传导已被广泛研究，但这种传导可能只是外国股票价格对美国股指变化背后的消息做出反应。除了定期的经济公告外，与美国经济相关的新闻可能包括定性新闻和非经济事件。由于新闻的日常性，没有适当的参考资料来说明其对美国或外国经济的影响，唯一可获得的参考资料可能是金融资产​​价格的变化。但美国股指具有一般性，不能用来提供有关美国经济的具体信息。股指以外的一些美国资产价格可能会揭示有关美国经济的更具体信息。本研究考察了美国四个国家经济状况截然不同的两个时期的这些美国资产价格与股票指数之间的日常关系，发现这些美国资产价格与外国股票价格之间的日常关系与美国当前的经济基本面是一致的。从这种关系中，我们确定了外国股票价格对美国经济状况的一些反应。这些经济状况包括实际经济冲击、货币政策和企业违约风险。