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

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...

Täydet tiedot

Tallennettuna:
Bibliografiset tiedot
Julkaisussa:MAGKS - Joint Discussion Paper Series in Economics (Band 27-2009)
Päätekijät: Hayo, Bernd, Kutan, Ali M., Neuenkirch, Matthias
Aineistotyyppi: Arbeit
Kieli:englanti
Julkaistu: Philipps-Universität Marburg 2009
Aiheet:
Wirtschaft
U.S. Monetary Policy
Federal Reserve Bank
Central Bank Communication
International Equity Markets
Economics
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Kuvaus
Yhteenveto: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.
Ulkoasu:10 Seiten
ISSN:1867-3678
DOI:10.17192/es2024.0008

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