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FOMC Communication and Emerging Equity Markets

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Author Info
Bernd Hayo () (Faculty of Business Administration and Economics, Philipps Universitaet Marburg)
Ali M. Kutan () (Southern Illinois University Edwardsville and the William Davidson Institute, Michigan)
Matthias Neuenkirch () (Faculty of Business Administration and Economics, Philipps Universitaet Marburg)

Additional information is available for the following registered author(s):

Abstract

Using a GARCH model, we study the effects of Federal Funds target rate changes and FOMC communication on emerging equity market returns and volatility over the period 1998–2006. First, both types of news have a significant impact on market returns. Second, target rate changes are more important than informal communication. Third, the occurrence of monetary policy reports lowers price volatility. Finally, American emerging markets react more to U.S. news than non-American markets.

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File URL: http://www.uni-marburg.de/fb02/makro/forschung/magkspapers/23-2009_Hayo.pdf
File Format: application/pdf
File Function: First version, 2009
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Publisher Info
Paper provided by Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung) in its series MAGKS Papers on Economics with number 200923.

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Length: 20 pages
Date of creation: 2009
Date of revision:
Publication status: Forthcoming in
Handle: RePEc:mar:magkse:200923

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Postal: Universit�tsstra�e 25, 35037 Marburg
Phone: 06421/28-1722
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Web page: http://www.uni-marburg.de/fb02/
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Related research
Keywords: Central Bank Communication; Emerging Markets; Federal Reserve Bank; U.S. Monetary Policy;

Find related papers by JEL classification:
E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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References listed on IDEAS
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  1. Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-78, December. [Downloadable!] (restricted)
    Other versions:
  2. Reinhart, Carmen & Rogoff, Kenneth, 2004. "The modern history of exchange rate arrangements: A reinterpretation," MPRA Paper 14070, University Library of Munich, Germany. [Downloadable!]
    Other versions:
  3. Doornik, Jurgen A. & Ooms, Marius, 2008. "Multimodality in GARCH regression models," International Journal of Forecasting, Elsevier, vol. 24(3), pages 432-448. [Downloadable!] (restricted)
  4. Patrice Robitaille & Jennifer E. Roush, 2006. "How do FOMC actions and U.S. macroeconomic data announcements move Brazilian sovereign yield spreads and stock prices?," International Finance Discussion Papers 868, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  5. Tim Bollerslev & Jeffrey Wooldridge, 1992. "Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances," Econometric Reviews, Taylor and Francis Journals, vol. 11(2), pages 143-172. [Downloadable!] (restricted)
  6. Michael Ehrmann & Marcel Fratzscher, 2006. "Global Financial Transmission of Monetary Policy Shocks," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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  7. Michael Ehrmann & Marcel Fratzscher, 2007. "Communication by Central Bank Committee Members: Different Strategies, Same Effectiveness?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2-3), pages 509-541, 03. [Downloadable!] (restricted)
  8. Hayo, Bernd & Kutan, Ali M., 2005. "IMF-related news and emerging financial markets," Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1126-1142, November. [Downloadable!] (restricted)
  9. Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis. [Downloadable!]
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  10. Andritzky, Jochen R. & Bannister, Geoffrey J. & Tamirisa, Natalia T., 2007. "The impact of macroeconomic announcements on emerging market bonds," Emerging Markets Review, Elsevier, vol. 8(1), pages 20-37, March. [Downloadable!] (restricted)
    Other versions:
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