Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/30084
Authors: 
Hayo, Bernd
Kutan, Ali M.
Neuenkirch, Matthias
Year of Publication: 
2009
Series/Report no.: 
Joint discussion paper series in economics 2009,27
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.
Subjects: 
Central Bank Communication
International Equity Markets
Federal Reserve Bank
U.S. Monetary Policy
JEL: 
E52
G14
G15
Document Type: 
Working Paper

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