Arbeitspapier
FOMC communication and emerging equity markets
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: MAGKS Joint Discussion Paper Series in Economics ; No. 2009,23
- Klassifikation
-
Wirtschaft
Monetary Policy
Information and Market Efficiency; Event Studies; Insider Trading
International Financial Markets
- Thema
-
Central Bank Communication
Emerging Markets
Federal Reserve Bank
U.S. Monetary Policy
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Hayo, Bernd
Kutan, Ali M.
Neuenkirch, Matthias
- Ereignis
-
Veröffentlichung
- (wer)
-
Philipps-University Marburg, Faculty of Business Administration and Economics
- (wo)
-
Marburg
- (wann)
-
2009
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Hayo, Bernd
- Kutan, Ali M.
- Neuenkirch, Matthias
- Philipps-University Marburg, Faculty of Business Administration and Economics
Entstanden
- 2009
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