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Worth the hype? The effect of G20 summits on global financial markets

Listed author(s):
  • Lo Duca, Marco
  • Stracca, Livio

In the wake of the global financial crisis, the G20 has become the most important forum of global governance and cooperation, largely replacing the once powerful G7. Against this background, this paper looks at G20 meetings at Ministerial and Leaders level to see whether they had an impact on global financial markets. To assess their impact we run an event study and we look at equity returns, bond yields and measures of market risk such as implied volatility, skewness and kurtosis between 2007 and 2013. Our main finding is that G20 summits have not had a strong, consistent and durable effect on any of the markets that we consider, suggesting that the information and decision content of G20 summits is of limited relevance for market participants.

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File URL: http://www.sciencedirect.com/science/article/pii/S0261560615000054
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Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 53 (2015)
Issue (Month): C ()
Pages: 192-217

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Handle: RePEc:eee:jimfin:v:53:y:2015:i:c:p:192-217
DOI: 10.1016/j.jimonfin.2015.01.003
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30443

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  1. Alan S. Blinder & Michael Ehrmann & Marcel Fratzscher & Jakob De Haan & David-Jan Jansen, 2008. "Central Bank Communication and Monetary Policy: A Survey of Theory and Evidence," Journal of Economic Literature, American Economic Association, vol. 46(4), pages 910-945, December.
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  6. repec:pri:cepsud:161blinder is not listed on IDEAS
  7. David O. Lucca & Francesco Trebbi, 2009. "Measuring Central Bank Communication: An Automated Approach with Application to FOMC Statements," NBER Working Papers 15367, National Bureau of Economic Research, Inc.
  8. A. Craig MacKinlay, 1997. "Event Studies in Economics and Finance," Journal of Economic Literature, American Economic Association, vol. 35(1), pages 13-39, March.
  9. Mina Baliamoune, 2000. "Economics of Summitry: An Empirical Assessment of the Economic Effects of Summits," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 27(3), pages 295-319, September.
  10. Jonathan David Ostry & Atish R. Ghosh, 2013. "Obstacles to International Policy Coordination, and How to Overcome Them," IMF Staff Discussion Notes 13/11, International Monetary Fund.
  11. Dieter Smeets & Marco Zimmermann, 2013. "Did the EU Summits Succeed in Convincing the Markets during the Recent Crisis?," Journal of Common Market Studies, Wiley Blackwell, vol. 51(6), pages 1158-1177, November.
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