Publikationsserver
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...
保存先:
| 出版年: | MAGKS - Joint Discussion Paper Series in Economics (Band 27-2009) |
|---|---|
| 主要な著者: | , , |
| フォーマット: | Arbeit |
| 言語: | 英語 |
| 出版事項: |
Philipps-Universität Marburg
2009
|
| 主題: | |
| オンライン･アクセス: | PDFフルテキスト |
| タグ: |
タグ追加
タグなし, このレコードへの初めてのタグを付けませんか!
|
| 要約: | 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. |
|---|---|
| 物理的記述: | 10 Seiten |
| ISSN: | 1867-3678 |
| DOI: | 10.17192/es2024.0008 |