TAILIEUCHUNG - U.S. Monetary Shocks and Global Stock Prices

An option holder is able to look to the system created by OCC's Rules which includes the brokers and Clearing Members involved in a particular option transaction and to certain funds held by OCC - rather than to any particular option writer for performance. Prior to the existence of option exchanges and OCC, an option holder who wanted to exercise an option depended on the ethical and financial integrity of the writer or his brokerage firm for performance. Furthermore, there was no convenient means of closing out one's position prior to the expiration of the contract. OCC, as the common clearing entity for all exchange traded option. | WP 10 278 . Monetary Shocks and Global Stock Prices Luc Laeven and Hui Tong INTERNATIONAL MONETARY FUND 2010 International Monetary Fund WP 10 278 IMF Working Paper Research Department . Monetary Shocks and Global Stock Prices Prepared by Luc Laeven and Hui Tong Authorized for distribution by Stijn Claessens December 2010 Abstract This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author s and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author s and are published to elicit comments and to further debate. This paper studies how . monetary policy affects global stock prices. We find that global stock prices respond strongly to changes in . interest rate policy with stock prices increasing decreasing following unexpected monetary loosening tightening . This impact is more pronounced for sectors that depend on external financing and for countries that are more integrated with the global financial market. These findings suggest that financial frictions play an important role in the transmission of monetary policy and that . monetary policy influences global capital allocation. JEL Classification Numbers E44 F36 G14 G32 Keywords Monetary policy asset prices monetary transmission financial constraints asset allocation Author s E-Mail Address LLaeven@ HTong@ We would like to thank Olivier Blanchard Stijn Claessens Linda Goldberg David Romer and seminar participants at the International Monetary Fund for comments or suggestions and Jeanne Verrier for excellent research assistance. The findings interpretations and conclusions expressed in this paper are entirely those of the authors. They should not be attributed to the International Monetary Fund. 2 Content Page I. II. Methodology and A. B. Data and Variable C. Descriptive III.

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