FOMC communication and emerging equity markets

Research English OPEN
Hayo, Bernd; Kutan, Ali M.; Neuenkirch, Matthias;
(2009)
  • Publisher: Univ., Dep. of Business Administration & Economics Marburg
  • Subject: E52 | G14 | G15 | Central Bank Communication | Emerging Markets | Federal Reserve Bank | U.S. Monetary Policy
    • ddc: ddc:330

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... View more
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