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Monetary policy spillovers and emerging market credit : the impact of Federal Reserve communications on sovereign CDS spreads

Fender, Ingo; Hayo, Bernd; Neuenkirch, Matthias - 2011

In this paper, we study the effects of US target rate changes and related communications by members of the Federal Reserve Board of Governors on spreads for emerging market sovereign credit default swaps (CDS). Using GARCH models, we find that during the pre-financial crisis sub-sample (April...

Persistent link: https://www.econbiz.de/10009304122

Monetary policy spillovers and emerging market credit: The impact of Federal Reserve communications on sovereign CDS spreads

Fender, Ingo; Hayo, Bernd; Neuenkirch, Matthias - 2011

Persistent link: https://www.econbiz.de/10010286429

FOMC communication and emerging equity markets

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...

Persistent link: https://www.econbiz.de/10003852244

Federal reserve communications and emerging equity markets

Hayo, Bernd; Kutan, Ali Mustafa; Neuenkirch, Matthias - In: Southern economic journal 78 (2012) 3, pp. 1041-1056

Persistent link: https://www.econbiz.de/10009502346

Estimating a European demand for money

Hayo, Bernd - 1998

Persistent link: https://www.econbiz.de/10000684217

Asymmetric monetary policy effects in EMU

Clausen, Volker; Hayo, Bernd - In: Applied economics 38 (2006) 10, pp. 1123-1134

Persistent link: https://www.econbiz.de/10003336894

Communicating with many tongues : FOMC speeches and US financial market reaction

Hayo, Bernd; Kutan, Ali Mustafa; Neuenkirch, Matthias - 2008

This paper studies the effects of FOMC communication on U.S. financial markets’ returns and volatility using a GARCH model over the period from 1998 to 2006. We build a new data set that includes information on all FOMC speeches, post-meeting statements, monetary policy reports and...

Persistent link: https://www.econbiz.de/10003864447

Büttner, David; Hayo, Bernd - 2008

We analyse the impact of news on five financial markets in the Czech Republic, Hungary and Poland using a newly constructed data set in a GARCH framework. Macroeconomic shocks (on GDP, inflation rate, current account and trade balance) are constructed as deviations from expected values....

Persistent link: https://www.econbiz.de/10003865756

The impact of foreign macroeconomic news on financial markets in the Czech Republic, Hungary, and Poland

Büttner, David; Hayo, Bernd; Neuenkirch, Matthias - 2009

In this paper, we study the effects of euro area and US macroeconomic news on financial markets in the Czech Republic …-month interest rates, stock market indices, exchange rates versus the euro, and the US dollar. First, foreign macroeconomic news has … whole observation period. Third, the process of European integration is accompanied by an increasing importance of euro area …

Persistent link: https://www.econbiz.de/10003849424

Determinants of European stock market integration

Büttner, David; Hayo, Bernd - 2009

model. By grouping the countries into euro area countries, "old" EU member states outside the euro area, and new EU member … states, we also evaluate the impact of euro introduction and the European unification process on stock market integration. We … market capitalisation and hindered by foreign exchange risk between old member states and the euro area. Interest rate …

Persistent link: https://www.econbiz.de/10003888969