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.