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...

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Detaylı Bibliyografya
Yayımlandı:MAGKS - Joint Discussion Paper Series in Economics (Band 27-2009)
Asıl Yazarlar: Hayo, Bernd, Kutan, Ali M., Neuenkirch, Matthias
Materyal Türü: Arbeit
Dil:İngilizce
Baskı/Yayın Bilgisi: Philipps-Universität Marburg 2009
Konular:
Wirtschaft
U.S. Monetary Policy
Federal Reserve Bank
Central Bank Communication
International Equity Markets
Economics
Online Erişim:PDF Tam Metin
Etiketler: Etiketle
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Diğer Bilgiler
Özet: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.
Fiziksel Özellikler:10 Seiten
ISSN:1867-3678
DOI:10.17192/es2024.0008

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