This paper investigates the cross-border propagation of U.S. monetary policy shocks to the financial markets of five open countries—Australia, Canada, New Zealand, South Korea, and the United Kingdom—from 2000 to 2017. I estimate the structural VAR models that consist of multiple high-frequency financial variables, in which the impacts of foreign (U.S.) and local monetary policy shocks are estimated jointly, using a novel set of external instruments. I include a wide range of domestic, U.S., and global endogenous variables to reflect the various channels of shock transmission. I draw four main findings from the empirical results. First, the foreign exchange rates respond flexibly to domestic and foreign monetary shocks, as the overshooting theory predicts. Second, despite the reactions in foreign exchange rates, U.S. monetary shocks propagate strongly to domestic financial markets in other countries, possibly reflecting the correlated term and risk premiums across countries. Third, while the results support the significant transmission of domestic monetary policies by the central banks in the countries, U.S. monetary shocks exhibit greater and more persistent impacts on domestic asset prices than the domestic shocks. Finally, a set of counterfactual experiments reveal that the international transmission of U.S. monetary policy shocks operate through several channels, including global financial sentiments, U.S. asset prices (both equity prices and bond yields), and foreign exchange rates.

中文翻译：

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美国货币政策冲击的金融市场溢出效应

本文调查了 2000 年至 2017 年美国货币政策冲击对澳大利亚、加拿大、新西兰、韩国和英国这五个开放国家金融市场的跨境传播。我估计了结构性 VAR 模型包括多个高频金融变量，其中使用一组新的外部工具联合估计外国（美国）和当地货币政策冲击的影响。我包括了广泛的国内、美国和全球内生变量，以反映冲击传播的各种渠道。我从实证结果中得出四个主要发现。首先，正如超调理论所预测的那样，外汇汇率对国内外货币冲击做出了灵活的反应。其次，尽管外汇汇率有所反应，但美国 货币冲击强烈地传播到其他国家的国内金融市场，可能反映了各国之间的相关期限和风险溢价。第三，虽然结果支持各国中央银行对国内货币政策的显着传导，但与国内冲击相比，美国货币冲击对国内资产价格的影响更大、更持久。最后，一组反事实实验表明，美国货币政策冲击的国际传导通过多种渠道进行，包括全球金融情绪、美国资产价格（股票价格和债券收益率）和外汇汇率。虽然结果支持各国中央银行对国内货币政策的显着传导，但与国内冲击相比，美国货币冲击对国内资产价格的影响更大、更持久。最后，一组反事实实验表明，美国货币政策冲击的国际传导通过多种渠道进行，包括全球金融情绪、美国资产价格（股票价格和债券收益率）和外汇汇率。虽然结果支持各国中央银行对国内货币政策的显着传导，但与国内冲击相比，美国货币冲击对国内资产价格的影响更大、更持久。最后，一组反事实实验表明，美国货币政策冲击的国际传导通过多种渠道进行，包括全球金融情绪、美国资产价格（股票价格和债券收益率）和外汇汇率。