The joint response of stock and foreign exchange markets to macroeconomic surprises: Using US and Japanese data

► I investigate the joint response of stock and FX market returns to macro shocks. ► FX market surprises affect both US and Japanese stock markets. ► Stock market response to US interest rate shock is overstated. ► Market response to Japanese inflation shock is also overstated. ► Responses are mitigated due to cross-market/country spillover effect of macro shocks.