• F30;
  • F34;
  • G14;
  • H63
  • central bank governor turnover;
  • monetary policy;
  • emerging markets;
  • risk premium

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.