FOMC Communication and Emerging Equity Markets

Bernd Hayo (), Ali M. Kutan () and Matthias Neuenkirch ()
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Ali M. Kutan: Southern Illinois University Edwardsville and the William Davidson Institute, Michigan

No 200923, MAGKS Papers on Economics from Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung)

Abstract: Using a GARCH model, we study the effects of Federal Funds target rate changes and FOMC communication on emerging equity market returns and volatility over the period 1998–2006. First, both types of news have a significant impact on market returns. Second, target rate changes are more important than informal communication. Third, the occurrence of monetary policy reports lowers price volatility. Finally, American emerging markets react more to U.S. news than non-American markets.

Keywords: Central Bank Communication; Emerging Markets; Federal Reserve Bank; U.S. Monetary Policy (search for similar items in EconPapers)
JEL-codes: E52 G14 G15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
Date: 2009
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Persistent link: http://EconPapers.repec.org/RePEc:mar:magkse:200923

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