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

Author

Listed:
  • Bernd Hayo

    (Philipps-University Marburg)

  • Ali M. Kutan

    (Southern Illinois University, Edwardsville; The Emerging Markets Group, London; William Davidson Institute, Michigan)

  • Matthias Neuenkirch

    (Philipps-University Marburg)

Abstract

We 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.

Suggested Citation

  • Bernd Hayo & Ali M. Kutan & Matthias Neuenkirch, 2009. "The Impact of U.S. Central Bank Communication on European and Pacific Equity Markets," MAGKS Papers on Economics 200927, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    • Handle: RePEc:mar:magkse:200927
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    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; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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