Review of Finance Vol. 24 No. 2 2020

One Central Bank to Rule Them All

Francesca Brusa¹; Pavel Savor²; Mungo Wilson³

¹ Fox School of Business at Temple University · ² Driehaus College of Business at DePaul University · ³ Said Business School at University of Oxford

Abstract

While global stock markets enjoy high returns on days surrounding Federal Open Market Committee (FOMC) meetings, there is no comparable result for other central banks either internationally or, more surprisingly, domestically. Neither announcement surprises nor currency moves drive these findings, which hold even for stocks with a domestic focus. The difference in announcement premia is not explained by economy size, exposure to multinationals, or policy activism. We conclude that the Fed exerts a unique impact on global equities. Consistent with this hypothesis, uncertainty drops across global markets following FOMC announcements but not those of other central banks. Furthermore, the Fed is generally the leader among central banks in setting monetary policy.

DOI

10.1093/rof/rfz015

Volume

24

Issue

2

Pages

263-304

Language

en

Sources

bibtex:phds-export.bib openalex crossref

Cite

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