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The Impact of U.S. Central Bank Communication on European and Pacific Equity Markets
Bernd Hayo () and
Ali M. Kutan ()
MAGKS Papers on Economics from Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung)
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.
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
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Downloads: (external link) http://www.uni-marburg.de/fb02/makro/forschung/magkspapers/27-2009_hayo.pdf Second version, 2010 (application/pdf)
Related works: Journal Article: The impact of U.S. central bank communication on European and pacific equity markets (2010) This item may be available elsewhere in EconPapers: Search for items with the same title.
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Persistent link: http://EconPapers.repec.org/RePEc:mar:magkse:200927
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