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International interest rates and US monetary policy announcements: Evidence from Hong Kong and Singapore

Valente, G (2009) 'International interest rates and US monetary policy announcements: Evidence from Hong Kong and Singapore.' Journal of International Money and Finance, 28 (6). pp. 920-940. ISSN 0261-5606

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Abstract

This paper investigates the responses of market interest rates to US monetary policy announcements for the US and two emerging economies, Hong Kong and Singapore which are similar on many respects but have experienced opposite exchange rate regimes in the last twenty years. Our results, based on market expectations extracted from federal fund futures rates, document that FOMC announcements significantly affect the term structure of interest rate in the US and both Asian countries. Further, international interest rate differentials around FOMC meeting dates tend to be negative for short maturities with the impact gradually dissipating as bond maturity increases. Finally, for the case of Singapore, we find that domestic interest rates react to both external and domestic monetary policy announcements with a magnitude that is larger over the full bond maturity spectrum for domestic announcements. These results are robust to time-varying futures risk premia and alternative measures of interest rates expectations.

Item Type: Article
Uncontrolled Keywords: Monetary policy; Interest rate futures; Term structure of interest rates
Subjects: H Social Sciences > HG Finance
Divisions: Faculty of Social Sciences
Faculty of Social Sciences > Essex Business School
SWORD Depositor: Elements
Depositing User: Elements
Date Deposited: 24 Nov 2011 10:00
Last Modified: 06 Jan 2022 13:37
URI: http://repository.essex.ac.uk/id/eprint/1564

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