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The Impact of ECB and FED announcements on the Euro interest rates

Monticini, Andrea and Peel, David and Vaciago, Giacomo (2011) The Impact of ECB and FED announcements on the Euro interest rates. Economics Letters, 113 (2). pp. 139-142. ISSN 0165-1765

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    Abstract

    We investigate the impact of news in the ECB and FED monetary policy announcements on daily changes in Euro interest rates. We document significant impacts of ECB announcements throughout the period but only until mid 2004 of FED announcements.

    Item Type: Article
    Journal or Publication Title: Economics Letters
    Uncontrolled Keywords: Monetary policy shocks ; Identification ; Wild bootstrap
    Subjects: H Social Sciences > HB Economic Theory
    Departments: Lancaster University Management School > Economics
    ID Code: 55683
    Deposited By: ep_importer_pure
    Deposited On: 11 Jul 2012 16:26
    Refereed?: Yes
    Published?: Published
    Last Modified: 15 Apr 2013 11:31
    Identification Number:
    URI: http://eprints.lancs.ac.uk/id/eprint/55683

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