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The impact of U.S. central bank communication on European and Pacific equity markets
Hayo, Bernd; Kutan, Ali Mustafa; Neuenkirch, Matthias - 2009
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/10003852262
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The impact of US central bank communication on European and pacific equity markets
Hayo, Bernd; Kutan, Ali Mustafa; Neuenkirch, Matthias - In: Economics letters 108 (2010) 2, pp. 172-174
Persistent link: https://www.econbiz.de/10008699220
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The Impact of U.S. Central Bank Communication on European and Pacific Equity Markets
Hayo, Bernd - 2010
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
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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 … and volatility is larger if the communication channel is more formal. However, since speeches happen much more often than …
Persistent link: https://www.econbiz.de/10003864447
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FOMC communication and emerging equity markets
Hayo, Bernd; Kutan, Ali Mustafa; Neuenkirch, Matthias - 2009
equity market returns and volatility over the period 1998–2006. First, both types of news have a significant impact on market … reports lowers price volatility. Finally, American emerging markets react more to U.S. news than non-American markets …
Persistent link: https://www.econbiz.de/10003852244
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Communication matters : US monetary policy and commodity price volatility
Hayo, Bernd; Kutan, Ali Mustafa; Neuenkirch, Matthias - 2011 - This version: March 4, 2011
Using a GARCH model, we analyze the influence of U.S. monetary policy action and communication on the price volatility … significant impact on price volatility. Second, expected target rate changes and communications decrease volatility, whereas … ; Price Volatility …
Persistent link: https://www.econbiz.de/10008859667
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Communication matters : US monetary policy and commodity price volatility
Hayo, Bernd; Kutan, Ali Mustafa; Neuenkirch, Matthias - In: Economics letters 117 (2012) 1, pp. 247-249
Persistent link: https://www.econbiz.de/10009697796
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Communication Matters : U.S. Monetary Policy and Commodity Price Volatility
Hayo, Bernd - 2011
Using a GARCH model, we analyze the influence of U.S. monetary policy action and communication on the price volatility … significant impact on price volatility. Second, expected target rate changes and communications decrease volatility, whereas …
Persistent link: https://www.econbiz.de/10013128878
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The effects of legislated tax changes in Germany
Hayo, Bernd; Uhl, Matthias - 2011
This paper studies the short-run macroeconomic effects of legislated tax changes in Germany using a vector autoregression (VAR) approach. Identification of the tax shock follows the narrative approach recently proposed by Romer and Romer (2010). Results indicate a moderate, but statistically...
Persistent link: https://www.econbiz.de/10009313156
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Communication matters: US monetary policy and commodity price volatility
Hayo, Bernd; Kutan, Ali M.; Neuenkirch, Matthias - 2011
Using a GARCH model, we analyze the influence of U.S. monetary policy action and communication on the price volatility … significant impact on price volatility. Second, expected target rate changes and communications decrease volatility, whereas …
Persistent link: https://www.econbiz.de/10010286427