One Central Bank to Rule Them All

76 Pages Posted: 12 Sep 2015 Last revised: 7 Aug 2019

See all articles by Francesca Brusa

Francesca Brusa

Temple University - Fox School of Business

Pavel G. Savor

DePaul University - Kellstadt Graduate School of Business

Mungo Ivor Wilson

University of Oxford - Said Business School

Date Written: July 1, 2019

Abstract

While global stock markets enjoy high returns on days surrounding 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.

Keywords: Risk Premia, Announcements, Monetary Policy, Central Bank, Federal Reserve

JEL Classification: G12

Suggested Citation

Brusa, Francesca and Savor, Pavel G. and Wilson, Mungo Ivor, One Central Bank to Rule Them All (July 1, 2019). Saïd Business School WP 2015-13, Fox School of Business Research Paper, Available at SSRN: https://ssrn.com/abstract=2658953 or http://dx.doi.org/10.2139/ssrn.2658953

Francesca Brusa

Temple University - Fox School of Business ( email )

1801 Liacouras Walk
Alter Hall #426
Philadelphia, PA Pennsylvania 19122
United States
+12152046477 (Phone)

Pavel G. Savor (Contact Author)

DePaul University - Kellstadt Graduate School of Business ( email )

1 E. Jackson Blvd.
Chicago, IL
United States

Mungo Ivor Wilson

University of Oxford - Said Business School ( email )

Park End Street
Oxford, OX1 1HP
Great Britain
+44 (0) 1865 288914 (Phone)

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