Bekaert, Geert; Hoerova, Marie; Xu, Nancy R. - 2023
We study how monetary policy and risk shocks affect asset prices in the US, the euro area, and Japan, differentiating … between "traditional" monetary policy and communication events, each decomposed into "pure" and information shocks … effects to risk. Both monetary policy and communication shocks spill over to stocks, with euro area information spillovers …