ROMANIAN FINANCIAL MARKET’S REACTION TO FED TAPERING TALK DURING 2013

Iulian Panait ()

Studii Financiare (Financial Studies), 2014, vol. 18, issue 4, 19-30

Abstract: This paper examines the reaction of the Romanian financial markets to the changes of monetary policies in the US during 2013. Using daily data for Bucharest Stock Exchange main equity index, EURRON exchange rate, 5 and 2 year government bond price index and 5 year government CDS (USD) price, we found a statistically significant negative reaction to the tapering news, similar in many respects with the reactions of other financial developed and emerging markets in the region. Also, we found that the reactions only manifested on the short term and were reduced in amplitude.

Keywords: monetary policy; financial markets; developing countries; stability; volatility (search for similar items in EconPapers)
JEL-codes: E58 F21 G15 (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:vls:finstu:v:18:y:2014:i:4:p:19-30

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