Earticle

초록

영어

This paper investigates the spill-over effects of the U.S.’s and the euro area’s macroeconomic news on the Asia-Pacific interest rates. We find that higher than expected news from these two economies raises the conditional mean, and most news, regardless of signs, elicits the associated volatility of daily returns of the Asia-Pacific interest rates. We also find supporting evidence for the two possible channels of the spillover effects of macroeconomic news, namely the policy reaction expectation and the integration mechanisms. More importantly, we reveal that the U.S.’s unemployment rate news and the euro area’s inflation news have the strongest impact on the first two moments of the Asia-Pacific interest rates daily returns. These findings are consistent with the relative size of these two economies and the monetary policy frameworks conducted at the U.S.’s Federal Reserve and the European Central Bank.

목차

Abstract
 Ⅰ. Introduction
 Ⅱ. Data
  1. Interest rates
  2. Macroeconomic news
  3. Empirical models and hypotheses
 Ⅲ. Empirical Results
  1. Which U.S.’s news affects the Asia-Pacific rates?
  2. Which euro area’s news affects the Asia-Pacific rates?
 Ⅳ. Robustness Checks
  1. Standardized effects
  2. Common-sized effects
  3. Concurrent effects
 Ⅴ. Conclusion
 References

키워드

저자

• Do Quoc Tho Nguyen [ Affiliate Professor, Rouen Business School Senior Economist, State Bank of Vietnam ] Corresponding Author.
• Minh Hung Le [ Director General, State Bank of Vietnam ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  재무연구 [Asian Review of Financial Research]

• 간기

  계간

• pISSN

  1229-0351

• eISSN

  2713-6531

• 수록기간

  1988~2026

• 등재여부

  KCI 등재,SCOPUS

• 십진분류

  KDC 325 DDC 330