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

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  • Monticini, Andrea
  • Peel, David
  • Vaciago, Giacomo

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.

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 113 (2011)
Issue (Month): 2 ()
Pages: 139-142

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Handle: RePEc:eee:ecolet:v:113:y:2011:i:2:p:139-142

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Web page: http://www.elsevier.com/locate/ecolet

Related research

Keywords: Monetary policy shocks; Identification; Wild bootstrap;

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References

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  1. Michael Ehrmann & Marcel Fratzscher, 2005. "Equal Size, Equal Role? Interest Rate Interdependence Between the Euro Area and the United States," Economic Journal, Royal Economic Society, vol. 115(506), pages 928-948, October.
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Cited by:
  1. Aymen Belgacem & Anna Creti & Khaled Guesmi & Amine Lahiani, 2014. "Volatility spillovers and macroeconomic announcements evidence from crude oil markets," Working Papers 2014-050, Department of Research, Ipag Business School.
  2. Aymen Belgacem & Amine Lahiani, 2012. "More on the impact of US macroeconomic announcements: Evidence from French and German stock markets' volatility," Economics Bulletin, AccessEcon, vol. 32(2), pages 1509-1526.
  3. Colin Gray, 2013. "Responding to a Monetary Superpower: Investigating the Behavioral Spillovers of U.S. Monetary Policy," Atlantic Economic Journal, International Atlantic Economic Society, vol. 41(2), pages 173-184, June.

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