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We examine the effects of 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 statistical and economic impact, but that the effects are not symmetric: target...
Persistent link: https://www.econbiz.de/10010265862
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/10010265897
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 testimonies....
Persistent link: https://www.econbiz.de/10010271166
Using a GARCH model, we analyze the influence of U.S. monetary policy action and communication on the price volatility of commodities for the period 1998-2009. We find, first, that U.S. monetary policy events have an economically significant impact on price volatility. Second, expected target...
Persistent link: https://www.econbiz.de/10010286427
Using a GARCH model, we analyze the influence of U.S. monetary policy action and communication on the price volatility of commodities for the period 1998–2009. We find, first, that U.S. monetary policy events have an economically significant impact on price volatility. Second, expected target...
Persistent link: https://www.econbiz.de/10013128878