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...
Furkejuvvon:
| Publikašuvnnas: | MAGKS - Joint Discussion Paper Series in Economics (Band 27-2009) |
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| Váldodahkkit: | , , |
| Materiálatiipa: | Arbeit |
| Giella: | eaŋgalasgiella |
| Almmustuhtton: |
Philipps-Universität Marburg
2009
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| Fáttát: | |
| Liŋkkat: | PDF-ollesdeaksta |
| Fáddágilkorat: |
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| Čoahkkáigeassu: | 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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| Olgguldas hápmi: | 10 Seiten |
| ISSN: | 1867-3678 |
| DOI: | 10.17192/es2024.0008 |