Fig. 8

Immediate responses of foreign financial markets to a US UMP tool (mortgage spread). Notes: The panels—BOND, CDS, EXC, and STOCK—represent the immediate effect of US mortgage spread shocks on the foreign long-term yields (measured by 5-year local currency government bond yields), the country risk premium (measured by 5-year sovereign CDS spreads), the exchange rate (defined as domestic currency units per unit in US dollars), and the equity prices (measured by the benchmark index), respectively. Each panel is colorized based on the magnitude and sign of the effect