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Impact Of FOMC Official Speeches on the Intraday Dynamics of CDS Markets

Lucian Albu, Radu Lupu () and Adrian Cantemir Calin

Journal for Economic Forecasting, 2016, issue 2, 5-12

Abstract: In present times, transparency has become one of the keywords on the agenda of every major central bank. Given this trend, these institutions have greatly increased their communication processes. In this context, this paper studies the impact of a battery of official speeches delivered by members of the Federal Open Market Committee on the dynamics of sovereign credit default swaps belonging to a vast array of countries. We use a set of GARCH models and intraday frequencies for the above mentioned financial assets. We find that these speeches have an important effect on the CDS returns of several of the countries included in the study.

Keywords: FOMC; official speeches; CDS (search for similar items in EconPapers)
JEL-codes: G14 G21 C5 (search for similar items in EconPapers)
Date: 2016
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Handle: RePEc:rjr:romjef:v::y:2016:i:2:p:5-12