How Do FOMC Actions and U.S. Macroeconomic Data Announcements Move Brazilian Sovereign Yield Spreads and Stock Prices?

Robitaille, Patrice; Roush, Jennifer E.

doi:10.17016/ifdp.2006.868

Cited by 18 publications

(18 citation statements)

References 23 publications

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“…In a more closely related exercise, Robitaille and Roush (2006) employ an event study approach using Brazilian data and find similar results to those of our paper.…”

Section: Introductionsupporting

confidence: 84%

U.S. Real Interest Rates and Default Risk in Emerging Economies

Foley-Fisher

Guimarães²

2012

internationalfinance

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This paper empirically investigates the impact of changes in US real interest rates on sovereign default risk in emerging economies using the method of identification through heteroskedasticity. Policy-induced increases in US interest rates starkly raise default risk in emerging market economies. However, the overall correlation between US real interest rates and the risk of default is negative, demonstrating that the effects of other variables dominate the anterior relationship.

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“…In a more closely related exercise, Robitaille and Roush (2006) employ an event study approach using Brazilian data and find similar results to those of our paper.…”

Section: Introductionsupporting

confidence: 84%

U.S. Real Interest Rates and Default Risk in Emerging Economies

Foley-Fisher

Guimarães²

2012

internationalfinance

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“…the agreement with the International Monetary Fund, the dollarization of reserve deposits in the central bank and changes in reserve requirements) had a positive impact on market returns. In a related paper, Robitaille and Roush (2006) provided evidence about the impact of the US macro data and the FOMC announcements on the stock market index in Brazil and on the yield spread in the Brazilian government US Dollar-denominated bonds market.…”

Section: Literature Reviewmentioning

confidence: 99%

Central Bank communication and the impact of public announcements of new monetary policy data on the reaction of foreign exchange and stock markets: evidence from Poland

Brzeszczyński¹,

Gajdka²,

Kutan³

2017

Argumenta Oeconomica

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We analyze the impact of monetary policy communication of the National Bank of Poland (NBP), i.e. the NBP announcements of interest rates changes and the release of new macroeconomic figures, on the Polish financial market in its two main segments: the foreign exchange market and the stock market, and we provide evidence on how they react to public information from the NBP. In particular, we are interested in the uncertainty (i.e. risk) effects and the wealth (i.e. return) effects of the NBP communication, i.e. whether the NBP announcements had any influence on stock and foreign exchange returns and on the activity of those two markets. Using GARCH methodology, we document the negative effects in the conditional variance of GARCH class models of WIG index volume of trade and WIG returns as well as PLN/USD bid-ask spread and PLN/USD returns, which suggests the existence of the calming effects of the NBP communication with financial markets on their price volatility and on the changes of their activity. The evidence presented in our study indicates that the NBP announcements had stabilizing effects on the stock and foreign exchange markets in Poland.

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“…For example, Ehrmann and Fratzscher (2009) and Hausman and Wongswan (2011) find significant effects of Fed policy on equity prices and other assets. 4 In addition, some studies examine the spillovers from U.S. macroeconomic data releases, see for example Robitaille and Roush (2006) and Andritzky, Bannister, and Tamirisa (2007).…”

Section: Literature Reviewmentioning

confidence: 99%

When is Bad News Good News? U.S. Monetary Policy, Macroeconomic News, and Financial Conditions in Emerging Markets

Hoek

Kamin

Yoldaş

2020

internationalfinance

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Rises in U.S. interest rates are often thought to generate adverse spillovers to emerging market economies (EMEs). We show that what appears to be bad news for EMEs might actually be good news, or at least not-so-bad news, depending on the source of the rise in U.S. interest rates. We present evidence that higher U.S. interest rates stemming from stronger U.S. growth generate only modest spillovers, while those stemming from a more hawkish Fed policy stance or inflationary pressures can lead to significant tightening of EME financial conditions. Our identification of the sources of U.S. rate changes is based on high-frequency moves in U.S. Treasury yields and stock prices around FOMC announcements and U.S. employment report releases. We interpret positive comovements of stocks and interest rates around these events as growth shocks and negative comovements as monetary shocks, and estimate the effect of these shocks on emerging market asset prices. For economies with greater macroeconomic vulnerabilities, the difference between the impact of monetary and growth shocks is magnified. In fact, for EMEs with very low levels of vulnerability, a growth-driven rise in U.S. interest rates may even ease financial conditions in some markets.

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How Do FOMC Actions and U.S. Macroeconomic Data Announcements Move Brazilian Sovereign Yield Spreads and Stock Prices?

Cited by 18 publications

References 23 publications

U.S. Real Interest Rates and Default Risk in Emerging Economies

U.S. Real Interest Rates and Default Risk in Emerging Economies

Central Bank communication and the impact of public announcements of new monetary policy data on the reaction of foreign exchange and stock markets: evidence from Poland

When is Bad News Good News? U.S. Monetary Policy, Macroeconomic News, and Financial Conditions in Emerging Markets

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