The Impact of U.S. Central Bank Communication on European and Pacific Equity Markets

MAGKS Discussion Paper No. No. 27-2009

10 Pages Posted: 12 Jun 2009 Last revised: 20 Apr 2010

See all articles by Bernd Hayo

Bernd Hayo

University of Marburg - School of Business & Economics

Ali M. Kutan

Southern Illinois University at Edwardsville

Matthias Neuenkirch

University of Trier - Faculty of Economics; CESifo (Center for Economic Studies and Ifo Institute)

Date Written: March 10, 2010

Abstract

We examine the effects of U.S. 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 impact, but that the effects are not symmetric: although several communication variables are statistically significant, target rate changes have an economically more important impact. European markets are influenced by a greater variety of FOMC communications than Pacific markets.

Keywords: Central Bank Communication, International Equity Markets, Federal Reserve Bank, U.S. Monetary Policy

JEL Classification: E52, G14, G15

Suggested Citation

Hayo, Bernd and Kutan, Ali M. and Neuenkirch, Matthias, The Impact of U.S. Central Bank Communication on European and Pacific Equity Markets (March 10, 2010). MAGKS Discussion Paper No. No. 27-2009. Available at SSRN: https://ssrn.com/abstract=1418462 or http://dx.doi.org/10.2139/ssrn.1418462

Bernd Hayo (Contact Author)

University of Marburg - School of Business & Economics ( email )

Universitaetsstr. 24
Marburg, D-35032
Germany
++49(0)6421-28-23091 (Phone)
++49(0)6421-28-23193 (Fax)

Ali M. Kutan

Southern Illinois University at Edwardsville ( email )

Department of Economics and Finance AH-3141
Edwardsville, IL 62026-1102
United States
618-650-3473 (Phone)
618-650-3047 (Fax)

HOME PAGE: http://https://ideas.repec.org/e/pku30.html

Matthias Neuenkirch

University of Trier - Faculty of Economics ( email )

Universit├Ątsring 15
Trier, 54296
Germany
+49 - (0)651 - 201 - 2629 (Phone)

HOME PAGE: http://www.uni-trier.de/index.php?id=50130

CESifo (Center for Economic Studies and Ifo Institute) ( email )

Poschinger Str. 5
Munich, DE-81679
Germany

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