Dokument
| Titel: | The Impact of U.S. Central Bank Communication on European and Pacific Equity Markets |
| Autor: | Hayo, Bernd |
| Weitere Verfasser: | Kutan, Ali M.; Neuenkirch, Matthias |
| Veröffentlicht: | 2009 |
| URI: | https://archiv.ub.uni-marburg.de/es/2024/0008 |
| DOI: | https://doi.org/10.17192/es2024.0008 |
| ISSN: | 1867-3678 |
| DDC: | 330 Wirtschaft |
| Publikationsdatum: | 2024-01-02 |
| Lizenz: | https://creativecommons.org/publicdomain/mark/1.0 |
| Schlagwörter: |
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| U.S. Monetary Policy, International Equity Markets, Central Bank Communication, Federal Reserve Bank |
Summary:
We examine the effects of U.S. federal funds target rate changes and all types of FOMC communication on European and Pacific equity market returns using a GARCH model. We show that both types of news have a significant impact, but that the effects are not symmetric: although several communication variables are statistically significant, target rate changes have an economically more important impact. European markets are influenced by a greater variety of FOMC communications than Pacific markets.
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