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.
- Language
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Englisch
- Bibliographic citation
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Series: MAGKS Joint Discussion Paper Series in Economics ; No. 2009,23
- 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
Emerging 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
-
Veröffentlichung
- (who)
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Philipps-University Marburg, Faculty of Business Administration and Economics
- (where)
-
Marburg
- (when)
-
2009
- Handle
- Last update
-
10.03.2025, 11:44 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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