Hayo, Bernd; Kutan, Ali Mustafa; Neuenkirch, Matthias - 2009
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 …