This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

The Impact of U.S. Central Bank Communication on European and Pacific Equity Markets

Author info | Abstract | Publisher info | Download info | Related research | Statistics
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

We examine the effects of 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 statistical and economic impact, but that the effects are not symmetric: target rate changes exert a larger influence, although several communication variables are statistically significant. Third, Pacific markets react more strongly than do European markets to FOMC news, whereas the latter are influenced by a greater variety of communications.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. 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.

File URL: http://www.uni-marburg.de/fb02/makro/forschung/magkspapers/27-2009_Hayo.pdf
File Format: application/pdf
File Function: First version, 2009
Download Restriction: no

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 200927.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 9 pages
Date of creation: 2009
Date of revision:
Publication status: Forthcoming in
Handle: RePEc:mar:magkse:200927

Contact details of provider:
Postal: Universit�tsstra�e 25, 35037 Marburg
Phone: 06421/28-1722
Fax: 06421/28-4858
Email:
Web page: http://www.uni-marburg.de/fb02/
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Bernd Hayo).

Related research
Keywords: Central Bank Communication; International Equity 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

This paper has been announced in the following NEP Reports:

Statistics
Access and download statistics

Did you know? All the bibliographic data shown here has been contributed by volunteers, thereby helping to keep this service free.

This page was last updated on 2009-12-2.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.