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The Impact of U.S. Central Bank Communication on European and Pacific Equity Markets

Bernd Hayo, Ali Kutan () and Matthias Neuenkirch ()

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 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
Date: 2009
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http://www.uni-marburg.de/fb02/makro/forschung/magkspapers/27-2009_hayo.pdf Second version, 2010 (application/pdf)

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Journal Article: The impact of U.S. central bank communication on European and pacific equity markets (2010) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:mar:magkse:200927

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