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The U.S. and Euro Economic Fundamentals and Asia-Pacific Interest Rates

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

  • Do Quoc Tho Nguyen
  • Minh Hung Le
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.
Spillover Effects,Macroeconomic News,Asia-Pacific Region,Euro Area,EGARCH