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The Impact of U.S. Central Bank Communication on European and Pacific 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 200927, MAGKS Papers on Economics from Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung)

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.

Keywords: Central Bank Communication; International Equity 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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http://www.uni-marburg.de/fb02/makro/forschung/magkspapers/27-2009_Hayo.pdf First version, 2009 (application/pdf)

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Persistent link: http://EconPapers.repec.org/RePEc:mar:magkse:200927

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