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...

Szczegółowa specyfikacja

Zapisane w:
Opis bibliograficzny
Wydane w:MAGKS - Joint Discussion Paper Series in Economics (Band 27-2009)
Główni autorzy: Hayo, Bernd, Kutan, Ali M., Neuenkirch, Matthias
Format: Arbeit
Język:angielski
Wydane: Philipps-Universität Marburg 2009
Hasła przedmiotowe:
Wirtschaft
U.S. Monetary Policy
Federal Reserve Bank
Central Bank Communication
International Equity Markets
Economics
Dostęp online:PDF pełnotekstowe
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Opis
Streszczenie: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.
Opis fizyczny:10 Seiten
ISSN:1867-3678
DOI:10.17192/es2024.0008

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