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
Date Written: March 10, 2010
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: Suggested Citation