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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
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)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
- Nikkinen, Jussi & Omran, Mohammed & Sahlstrom, Petri & Aijo, Janne, 2006. "Global stock market reactions to scheduled U.S. macroeconomic news announcements," Global Finance Journal, Elsevier, vol. 17(1), pages 92-104, September.
- Joshua Hausman & Jon Wongswan, 2006.
"Global asset prices and FOMC announcements,"
International Finance Discussion Papers
886, Board of Governors of the Federal Reserve System (U.S.).
- Conover, C. Mitchell & Jensen, Gerald R. & Johnson, Robert R., 1999. "Monetary environments and international stock returns," Journal of Banking & Finance, Elsevier, vol. 23(9), pages 1357-1381, September.
- 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.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Ehrmann, Michael & Fratzscher, Marcel, 2004. "Taking stock: monetary policy transmission to equity markets," Working Paper Series 0354, European Central Bank.
- W. Robert Reed, 2014. "On the Practice of Lagging Variables To Avoid Simultaneity," Working Papers in Economics 14/18, University of Canterbury, Department of Economics and Finance.
- Bernd Hayo & Britta Niehof, 2011. "Identification Through Heteroscedasticity in a Multicountry and Multimarket Framework," MAGKS Papers on Economics 201124, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Singh, Manohar & Nejadmalayeri, Ali & Lucey, Brian, 2013. "Do U.S. macroeconomic surprises influence equity returns? An exploratory analysis of developed economies," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(4), pages 476-485.
- Melanie-Kristin Beck & Bernd Hayo & Matthias Neuenkirch, 2012.
"Central Bank Communication and Correlation between Financial Markets: Canada and the United States,"
MAGKS Papers on Economics
201201, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Melanie-Kristin Beck & Bernd Hayo & Matthias Neuenkirch, 2013. "Central bank communication and correlation between financial markets: Canada and the United States," International Economics and Economic Policy, Springer, vol. 10(2), pages 277-296, June.
- Ingo Fender & Bernd Hayo & Matthias Neuenkirch, 2011. "Daily CDS pricing in emerging markets before and during the global financial crisis," MAGKS Papers on Economics 201139, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- W. Robert Reed, 2013. "A Note on the Practice of Lagging Variables to Avoid Simultaneity," Working Papers in Economics 13/32, University of Canterbury, Department of Economics and Finance.
- Aleš Bulíř & Martin Čihák & David-Jan Jansen, 2013. "What Drives Clarity of Central Bank Communication About Inflation?," Open Economies Review, Springer, vol. 24(1), pages 125-145, February.
- Bernd Hayo & Ummad Mazhar, 2011. "Monetary Policy Committee Transparency: Measurement,Determinants, and Economic Effects," MAGKS Papers on Economics 201140, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Bernd Hayo).
If references are entirely missing, you can add them using this form.