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Impact Of FOMC Official Speeches on the Intraday Dynamics of CDS Markets

Author

Listed:
  • Lucian Liviu Albu

    (Institute for Economic Forecasting, Romanian Academy)

  • Radu Lupu

    (Institute for Economic Forecasting, Romanian Academy)

  • Adrian Cantemir Călin

    (Institute for Economic Forecasting, Romanian Academy)

Abstract

In present times, transparency has become one of the keywords on the agenda of every major central bank. Given this trend, these institutions have greatly increased their communication processes. In this context, this paper studies the impact of a battery of official speeches delivered by members of the Federal Open Market Committee on the dynamics of sovereign credit default swaps belonging to a vast array of countries. We use a set of GARCH models and intraday frequencies for the above mentioned financial assets. We find that these speeches have an important effect on the CDS returns of several of the countries included in the study.

Suggested Citation

  • Lucian Liviu Albu & Radu Lupu & Adrian Cantemir Călin, 2016. "Impact Of FOMC Official Speeches on the Intraday Dynamics of CDS Markets," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 5-12, June.
    • Handle: RePEc:rjr:romjef:v::y:2016:i:2:p:5-12
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    FOMC; official speeches; CDS;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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