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

Bernd Hayo, Ali M. Kutan, Matthias Neuenkirch
2010 Social Science Research Network  
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. JEL: E52, G14, G15
doi:10.2139/ssrn.1418462 fatcat:uztmdelacbdelgmcojvhgfsgxi