The Impact of U.S. Central Bank Communication on European and Pacific Equity Markets
AbstractWe 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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Bibliographic InfoPaper 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 200927.
Length: 10 pages
Date of creation: 2009
Date of revision:
Publication status: Forthcoming in
Central Bank Communication; International Equity Markets; Federal Reserve Bank; U.S. Monetary Policy;
Other versions of this item:
- Hayo, Bernd & Kutan, Ali M. & Neuenkirch, Matthias, 2010. "The impact of U.S. central bank communication on European and pacific equity markets," Economics Letters, Elsevier, vol. 108(2), pages 172-174, August.
- 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; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-07-03 (All new papers)
- NEP-CBA-2009-07-03 (Central Banking)
- NEP-MAC-2009-07-03 (Macroeconomics)
- NEP-MON-2009-07-03 (Monetary Economics)
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