Discussion paper

DP18229 Risk, Monetary Policy and Asset Prices in a Global World

We study how monetary policy and risk shocks affect asset prices in the US, the euro area, and Japan since the turn of the century. We differentiate between “traditional” monetary policy and communication events, each decomposed into “pure” and information shocks. Communication shocks from the US spill over to risk in the euro area and vice versa. Both monetary policy and communication shocks spill over to stocks, with euro area information spillovers being particularly strong. US spillovers are consistent with global CAPM intuition whereas euro area spillovers are larger. Importantly, we document a strong global component of risk shocks which is not driven by monetary policy.


Bekaert, G, M Hoerova and N Xu (2023), ‘DP18229 Risk, Monetary Policy and Asset Prices in a Global World‘, CEPR Discussion Paper No. 18229. CEPR Press, Paris & London. https://cepr.org/publications/dp18229