Arbeitspapier
The impact of U.S. central bank communication on European and Pacific equity markets
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.
- Language
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Englisch
- Bibliographic citation
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Series: MAGKS Joint Discussion Paper Series in Economics ; No. 2009,27
- Classification
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Wirtschaft
Monetary Policy
Information and Market Efficiency; Event Studies; Insider Trading
International Financial Markets
- Subject
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Central Bank Communication
International Equity Markets
Federal Reserve Bank
U.S. Monetary Policy
- Event
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Geistige Schöpfung
- (who)
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Hayo, Bernd
Kutan, Ali M.
Neuenkirch, Matthias
- Event
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Veröffentlichung
- (who)
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Philipps-University Marburg, Faculty of Business Administration and Economics
- (where)
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Marburg
- (when)
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2009
- Handle
- Last update
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10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Hayo, Bernd
- Kutan, Ali M.
- Neuenkirch, Matthias
- Philipps-University Marburg, Faculty of Business Administration and Economics
Time of origin
- 2009
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