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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...
Persistent link: https://www.econbiz.de/10013152513
Work on the impact of U.S. monetary policy on emerging financial markets mostly focuses on official federal funds rate announcements; empirical evidence using data on informal communication channels, such as speeches, is scant. Employing a unique data set covering formal and informal...
Persistent link: https://www.econbiz.de/10013152782
Persistent link: https://www.econbiz.de/10009632397