The Impact of U.S. Central Bank Communication on European and Pacific Equity Markets

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 va...

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Bibliographic Details
Published in:MAGKS - Joint Discussion Paper Series in Economics (Band 27-2009)
Main Authors: Hayo, Bernd, Kutan, Ali M., Neuenkirch, Matthias
Format: Work
Published: Philipps-Universität Marburg 2009
Online Access:PDF Full Text
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