Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/30135
Authors: 
Hayo, Bernd
Kutan, Ali M.
Neuenkirch, Matthias
Year of Publication: 
2009
Series/Report no.: 
Joint discussion paper series in economics 2009,23
Abstract: 
Using a GARCH model, we study the effects of Federal Funds target rate changes and FOMC communication on emerging equity market returns and volatility over the period 1998–2006. First, both types of news have a significant impact on market returns. Second, target rate changes are more important than informal communication. Third, the occurrence of monetary policy reports lowers price volatility. Finally, American emerging markets react more to U.S. news than non-American markets.
Subjects: 
Central Bank Communication
Emerging Markets
Federal Reserve Bank
U.S. Monetary Policy
JEL: 
E52
G14
G15
Document Type: 
Working Paper

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