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Assessing the impact of macroeconomic news announcements on securities prices under different monetary policy regimes

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Author Info
Andrew Clare
Roger Courtenay
Abstract

This paper investigates the impact of UK macroeconomic news announcements on selected futures contracts and exchange rates. A wide set of scheduled public news announcements is included in the study, including: official interest rate decisions, the publication of the Bank of England's Inflation Report, and the minutes of the Bank's Monetary Policy Committee meetings. The study investigates whether the reaction to these announcements has changed since the Bank of England was granted operational independence in May 1997. The results indicate that there may well have been changes in the way that financial markets incorporate key economic data into securities prices. In particular, an increase in the speed of the reaction to interest rate announcements is discovered, but also there is evidence of a fall in the size of the full reaction.

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Paper provided by Bank of England in its series Bank of England working papers with number 125.

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Handle: RePEc:boe:boeewp:125

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  3. Michael J. Fleming & Eli M. Remolona, 1997. "What moves the bond market?," Research Paper 9706, Federal Reserve Bank of New York. [Downloadable!]
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  4. Jones, Charles M & Kaul, Gautam & Lipson, Marc L, 1994. "Transactions, Volume, and Volatility," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 7(4), pages 631-51. [Downloadable!] (restricted)
  5. Ederington, Louis H & Lee, Jae Ha, 1993. " How Markets Process Information: News Releases and Volatility," Journal of Finance, American Finance Association, vol. 48(4), pages 1161-91, September. [Downloadable!] (restricted)
  6. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Volatility Forecasting," PIER Working Paper Archive 05-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
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  7. Ederington, Louis H. & Lee, Jae Ha, 1995. "The Short-Run Dynamics of the Price Adjustment to New Information," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(01), pages 117-134, March. [Downloadable!]
  8. Torben G. Andersen & Tim Bollerslev, 1998. "Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies," Journal of Finance, American Finance Association, vol. 53(1), pages 219-265, 02. [Downloadable!] (restricted)
  9. Jon Danielsson & Richard Payne, 1999. "Real Trading Patterns and Prices in Spot Foreign Exchange Markets," FMG Discussion Papers dp320, Financial Markets Group. [Downloadable!] (restricted)
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  10. McQueen, Grant & Roley, V Vance, 1993. "Stock Prices, News, and Business Conditions," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 6(3), pages 683-707. [Downloadable!] (restricted)
  11. Becker, Kent G & Finnerty, Joseph E & Kopecky, Kenneth J, 1995. "Domestic macroeconomic news and foreign interest rates," Journal of International Money and Finance, Elsevier, vol. 14(6), pages 763-783, December. [Downloadable!] (restricted)
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