The Global Financial Cycle after Lehman

Did the effect of US monetary policy on the global financial cycle change after the crisis? We analyze the international transmission of the Fed's policy shocks since 2009. We find similar effects for the policies that act mostly on the short end of the US yield curve. But there is evidence of potent information effects active at the long end. Lower ten-year Treasury yields are associated with weaker global financial activity and flight to safety. The information content of the VIX may have changed substantially since the crisis.