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The effects of monetary policy changes on market interest rates in Greece: An event study approach

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  • Kaketsis, Asimakis
  • Sarantis, Nicholas
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    Bibliographic Info

    Article provided by Elsevier in its journal International Review of Economics & Finance.

    Volume (Year): 15 (2006)
    Issue (Month): 4 ()
    Pages: 487-504

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    Handle: RePEc:eee:reveco:v:15:y:2006:i:4:p:487-504

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    Web page: http://www.elsevier.com/locate/inca/620165

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    1. Boehmer, Ekkehart & Masumeci, Jim & Poulsen, Annette B., 1991. "Event-study methodology under conditions of event-induced variance," Journal of Financial Economics, Elsevier, Elsevier, vol. 30(2), pages 253-272, December.
    2. Cook, Timothy & Hahn, Thomas, 1989. "The effect of changes in the federal funds rate target on market interest rates in the 1970s," Journal of Monetary Economics, Elsevier, Elsevier, vol. 24(3), pages 331-351, November.
    3. Brown, Stephen J. & Warner, Jerold B., 1980. "Measuring security price performance," Journal of Financial Economics, Elsevier, Elsevier, vol. 8(3), pages 205-258, September.
    4. Daniel L. Thornton, 1986. "The discount rate and market interest rates: theory and evidence," Review, Federal Reserve Bank of St. Louis, issue Aug, pages 5-21.
    5. Cook, Timothy & Hahn, Thomas, 1988. "The Information Content of Discount Rate Announcements and Their Effect on Market Interest Rates," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 20(2), pages 167-80, May.
    6. Alain Paquet & Thierry Perez, 1993. "La réaction du marché financier face à différentes sources de signal de la politique monétaire au Canada," Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal 11, CREFE, Université du Québec à Montréal.
    7. Rudebusch, Glenn D., 1995. "Federal Reserve interest rate targeting, rational expectations, and the term structure," Journal of Monetary Economics, Elsevier, Elsevier, vol. 35(2), pages 245-274, April.
    8. Kenneth N. Kuttner, 2000. "Monetary policy surprises and interest rates: evidence from the Fed funds futures markets," Staff Reports 99, Federal Reserve Bank of New York.
    9. V. Vance Roley & Gordon H. Sellon, Jr., 1995. "Monetary policy actions and long-term interest rates," Economic Review, Federal Reserve Bank of Kansas City, issue Q IV, pages 73-89.
    10. Daniel L. Thornton, 1998. "Tests of the market's reaction to federal funds rate target changes," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 25-36.
    11. Daniel L. Thornton, 1992. "Why do T-bill rates react to discount rate changes?," Working Papers 1992-004, Federal Reserve Bank of St. Louis.
    12. Garfinkel, Michelle R & Thornton, Daniel L, 1995. "The Information Content of the Federal Funds Rate: Is It Unique?," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 27(3), pages 838-47, August.
    13. Cable, John & Holland, Kevin, 1999. "Regression vs. non-regression models of normal returns: implications for event studies," Economics Letters, Elsevier, vol. 64(1), pages 81-85, July.
    14. Claudio E. V. Borio, 1997. "Monetary policy operating procedures in industrial countries," BIS Working Papers 40, Bank for International Settlements.
    15. Daniel C. Hardy, 1998. "Anticipation and Surprises in Central Bank Interest Rate Policy: The Case of the Bundesbank," IMF Staff Papers, Palgrave Macmillan, vol. 45(4), pages 647-671, December.
    16. Brown, Stephen J. & Warner, Jerold B., 1985. "Using daily stock returns : The case of event studies," Journal of Financial Economics, Elsevier, Elsevier, vol. 14(1), pages 3-31, March.
    17. A. Craig MacKinlay, 1997. "Event Studies in Economics and Finance," Journal of Economic Literature, American Economic Association, vol. 35(1), pages 13-39, March.
    18. Michael J. Dueker, 1992. "The response of market interest rates to discount rate changes," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 78-91.
    19. Spencer Dale, 1993. "The effect of changes in official UK rates on market interest rates since 1987," Bank of England working papers 10, Bank of England.
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    Cited by:
    1. Filippo COSSETTI & Francesco GUIDI, 2009. "ECB Monetary Policy and Term Structure of Interest Rates in the Euro Area: an Empirical Analysis," Working Papers 334, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    2. Kollias, Christos & Papadamou, Stephanos & Stagiannis, Apostolos, 2011. "Terrorism and capital markets: The effects of the Madrid and London bomb attacks," International Review of Economics & Finance, Elsevier, Elsevier, vol. 20(4), pages 532-541, October.
    3. Giorgos Argitis & Stella Michopoulou, 2013. "Studies in Financial Systems No 4 Financialization and the Greek Financial System," FESSUD studies, Financialisation, Economy, Society & Sustainable Development (FESSUD) Project fstudy04, Financialisation, Economy, Society & Sustainable Development (FESSUD) Project.

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