International Transmission of US Central Bank Verbal Interventions: Evidence from Russia

In this paper I study the effect of US central bank verbal interventions on two Russian market indexes’ daily returns using a newly constructed dataset of FOMC post-meeting statements and speeches covering the period from 2005 to 2017. I implement two empirical strategies based on the previous literature of central banks’ communication: one involves OLS regression analysis and the other involving GARCH modelling. I show that speeches of FOMC officials do not have an impact of Russian market index daily returns. I also show that volatility of MOEX daily returns is higher on the days of FOMC statement release, but the returns’ values are not affected. During the ZLB period, effect on RTS returns is similar, but in the rest of period the Fed verbal interventions do not have a significant impact on volatility of the index returns, but may affect its value.