Do Markets Care about Central Bank Governor Changes? Evidence from Emerging Markets

被引:23
作者
Moser, Christoph [1 ]
Dreher, Axel [2 ]
机构
[1] ETH, Swiss Fed Inst Technol, KOF Swiss Econ Inst, Zurich, Switzerland
[2] Univ Gottingen, Fac Econ Sci, KOF Swiss Econ Inst, Gottingen, Germany
关键词
F30; F34; G14; H63; central bank governor turnover; monetary policy; emerging markets; risk premium; INFLATION; RISK; INDEPENDENCE; COMMITMENT; DISCRETION; MATTER;
D O I
10.1111/j.1538-4616.2010.00355.x
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Based on a new daily data set for 20 emerging markets over the period 1992-2006, we examine the reactions of foreign exchange markets, domestic stock markets, and sovereign bond spreads to central bank governor changes. We find that the replacement of a central bank governor negatively affects financial markets on the announcement day, which is in line with the hypothesis that newly appointed central bank governors suffer from a systematic credibility problem at the beginning of their tenure. We also find some evidence that changes in perceived central bank independence affect markets.
引用
收藏
页码:1589 / 1612
页数:24
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