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...

We study the effects of U.S. monetary policy and macroeconomic announcements on Argentine money, stock and foreign exchange markets' returns and volatility over the period 1998 to 2006 using a GARCH model. Firstly, we show that both types of news have a significant impact on all markets....

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...

Using a GARCH model, we study the effects of Canadian and U.S. central bank communication and macroeconomic news on Canadian bond, stock, and foreign exchange market returns and volatility. First, news in both categories and from both countries has an impact on all financial markets. Canadian...

This paper formally proves that Rigobon and Sack (2004)'s approach of identifying monetary policy shocks through heteroscedasticity can be extended to a multimarket and multicountry framework. Applying our multivariate framework allows deriving consistent estimators of monetary policy effects....

We examine the impact of Bank of Canada communications and media reporting on them on Canadian (short- and medium-term) bond and stock market returns using a GARCH model. Communications are rather uniformly distributed over the sample period (1998-2006); however, media coverage is particularly...

We study the correlation between pairs of bond and stock markets in Canada and the United States between January 1998 and December 2006 in the framework of Diagonal-BEKK models. Our research question is whether monetary policy action and communication by the Bank of Canada and the Federal...

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...

We study the effects of U.S. monetary policy and macroeconomic announcements on Argentine money, stock and foreign exchange markets’ returns and volatility over the period 1998 to 2006 using a GARCH model. Firstly, we show that both types of news have a significant impact on all markets....

Using a GARCH model, we study the effects of Canadian and U.S. central bank communication and macroeconomic news on Canadian bond, stock, and foreign exchange market returns and volatility. First, news in both categories and from both countries has an impact on all financial markets. Canadian...