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...

Motivated by Bali et al. (2016) who find U.S. economic policy uncertainty (EPU) is priced in the cross-section of U.S. stock returns, we use weekly data from March 2006 to April 2016 to study whether shocks in U.S. EPU also influence prices of China's A-shares from market, industry, and...

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...