This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
The Impact of Central Bank Announcements on Asset Prices in Real Time: Testing the Efficiency of the Euribor Futures Market Author info | Abstract | Publisher info | Download info | Related research | Statistics Carlo Rosa
Giovanni Verga
Additional information is available for the following
registered author(s):
This paper examines the effect of European Central Bank communication on the pricediscovery process in the Euribor futures market using a new tick-by-tick dataset. First, weshow that two pieces of news systematically hit financial markets on Governing Councilmeeting days: the ECB policy rate decision and the explanation of its monetary policy stance.Second, we find that the unexpected component of ECB explanations has a significant andsizeable impact on futures prices. This indicates that the ECB has already acquired somecredibility: financial markets seem to believe that it does what it says it will do. Finally, ourresults suggest that the Euribor futures market is semi-strong form informational efficient.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Paper provided by Centre for Economic Performance, LSE in its series CEP Discussion Papers with number
dp0764.
Download reference. The following formats are available: HTML
(with abstract ),
plain text
(with abstract ),
BibTeX ,
RIS (EndNote, RefMan, ProCite),
ReDIF
Length:
Date of creation: Dec 2006Date of revision:
Handle: RePEc:cep:cepdps:dp0764Contact details of provider: Web page: http://cep.lse.ac.uk/_new/publications/series.asp?prog=CEP
For technical questions regarding this item, or to correct its listing, contact: ().
Keywords: market efficiency ; central bank communication ; news shock ; tickby-tick Euriborfutures data ; event-study analysis. ; Find related papers by JEL classification: E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
This paper has been announced in the following NEP Reports :
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Brown, Stephen J. & Warner, Jerold B., 1985.
"Using daily stock returns : The case of event studies ,"
Journal of Financial Economics ,
Elsevier, vol. 14(1), pages 3-31, March.
[Downloadable!] (restricted)
Christina D. Romer & David H. Romer, 2003.
"A New Measure of Monetary Shocks: Derivation and Implications ,"
NBER Working Papers
9866, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Michael Ehrmann & Marcel Fratzscher, 2005.
"How should central banks communicate? ,"
Working Paper Series
557, European Central Bank.
[Downloadable!]
Refet Gurkaynak & Brian Sack & Eric Swanson, 2005.
"Do Actions Speak Louder than Words? The Response of Asset Prices to Monetary Policy Actions and Statements ,"
Macroeconomics
0504013, EconWPA.
[Downloadable!]
Other versions:
Gurkaynak, Refet S & Sack, Brian & Swanson, Eric T, 2005.
"Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements ,"
MPRA Paper
820, University Library of Munich, Germany.
[Downloadable!] Refet Gürkaynak & Brian Sack & Eric Swanson, 2004.
"Do actions speak louder than words? the response of asset prices to monetary policy actions and statements ,"
Finance and Economics Discussion Series
2004-66, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!] Refet S Gürkaynak & Brian Sack & Eric Swanson, 2005.
"Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements ,"
International Journal of Central Banking ,
International Journal of Central Banking, vol. 1(1), May.
[Downloadable!] Claus Brand & Daniel Buncic & Jarkko Turunen, 2006.
"The impact of ECB monetary policy decisions and communication on the yield curve ,"
Working Paper Series
657, European Central Bank.
[Downloadable!]
Other versions: Fama, Eugene F, 1970.
"Efficient Capital Markets: A Review of Theory and Empirical Work ,"
Journal of Finance ,
American Finance Association, vol. 25(2), pages 383-417, May.
[Downloadable!] (restricted)
Michael Ehrmann & Marcel Fratzscher, 2005.
"The timing of central bank communication ,"
Working Paper Series
565, European Central Bank.
[Downloadable!]
Other versions: Goodfriend, Marvin, 1986.
"Monetary mystique: Secrecy and central banking ,"
Journal of Monetary Economics ,
Elsevier, vol. 17(1), pages 63-92, January.
[Downloadable!] (restricted)
Other versions: Antulio N. Bomfim, 2003.
"Monetary policy and the yield curve ,"
Finance and Economics Discussion Series
2003-15, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Michael Ehrmann & Marcel Fratzscher, 2005.
"Communication and decision-making by central bank committees - different strategies, same effectiveness? ,"
Working Paper Series
488, European Central Bank.
[Downloadable!]
Alan S. Blinder, 1999.
"Central Banking in Theory and Practice ,"
MIT Press Books ,
The MIT Press,
edition 1, volume 1, number 0262522608.
Busse, Jeffrey A. & Clifton Green, T., 2002.
"Market efficiency in real time ,"
Journal of Financial Economics ,
Elsevier, vol. 65(3), pages 415-437, September.
[Downloadable!] (restricted)
Oxley, Les & McAleer, Michael, 1993.
" Econometric Issues in Macroeconomic Models with Generated Regressors ,"
Journal of Economic Surveys ,
Blackwell Publishing, vol. 7(1), pages 1-40.
John H. Cochrane & Monika Piazzesi, 2002.
"The Fed and Interest Rates: A High-Frequency Identification ,"
NBER Working Papers
8839, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Heinemann, Friedrich & Ullrich, Katrin, 2005.
"Does it Pay to Watch Central Bankers? Lips? The Information Content of ECB Wording ,"
ZEW Discussion Papers
05-70, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
[Downloadable!]
Other versions: A. Craig MacKinlay, 1997.
"Event Studies in Economics and Finance ,"
Journal of Economic Literature ,
American Economic Association, vol. 35(1), pages 13-39, March.
[Downloadable!] (restricted)
David-Jan Jansen & Jakob de Haan, 2005.
"Were Verbal Efforts to Support the Euro Effective? A High-Frequency Analysis of ECB Statements ,"
DNB Working Papers
033, Netherlands Central Bank, Research Department.
[Downloadable!]
Other versions: Donald L. Kohn & Brian P. Sack, 2003.
"Central bank talk: does it matter and why? ,"
Finance and Economics Discussion Series
2003-55, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Christina D. Romer & David H. Romer, 1990.
"Does Monetary Policy Matter? A New Test in the Spirit of Friedman and Schwartz ,"
NBER Working Papers
2966, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Rigobon, Roberto & Sack, Brian, 2004.
"The impact of monetary policy on asset prices ,"
Journal of Monetary Economics ,
Elsevier, vol. 51(8), pages 1553-1575, November.
[Downloadable!] (restricted)
Other versions: David-Jan Jansen & Jakob de Haan, 2006.
"Look who's talking: ECB communication during the first years of EMU ,"
International Journal of Finance & Economics ,
John Wiley & Sons, Ltd., vol. 11(3), pages 219-228.
[Downloadable!]
Other versions: Faust, Jon & Swanson, Eric T. & Wright, Jonathan H., 2004.
"Identifying VARS based on high frequency futures data ,"
Journal of Monetary Economics ,
Elsevier, vol. 51(6), pages 1107-1131, September.
[Downloadable!] (restricted)
Other versions: Gerlach, Stefan, 2004.
"Interest Rate Setting by the ECB: Words and Deeds ,"
CEPR Discussion Papers
4775, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Jansen, David-Jan & De Haan, Jakob, 2005.
"Talking heads: the effects of ECB statements on the euro-dollar exchange rate ,"
Journal of International Money and Finance ,
Elsevier, vol. 24(2), pages 343-361, March.
[Downloadable!] (restricted)
Charles Goodhart, 2005.
"The Interest Rate Conditioning Assumption ,"
FMG Discussion Papers
dp547, Financial Markets Group.
[Downloadable!] (restricted)
Marie Musard-Gies, 2005.
"Do ECB's statements steer short-term and long-term interest rates in the euro zone? ,"
Money Macro and Finance (MMF) Research Group Conference 2005
56, Money Macro and Finance Research Group.
[Downloadable!]
Other versions: Charles A.E. Goodhart, 2001.
"Monetary transmission lags and the formulation of the policy decision on interest rates ,"
Review ,
Federal Reserve Bank of St. Louis, issue Jul, pages 165-186.
[Downloadable!]
Kuttner, Kenneth N., 2001.
"Monetary policy surprises and interest rates: Evidence from the Fed funds futures market ,"
Journal of Monetary Economics ,
Elsevier, vol. 47(3), pages 523-544, June.
[Downloadable!] (restricted)
Other versions: Fama, Eugene F, 1991.
" Efficient Capital Markets: II ,"
Journal of Finance ,
American Finance Association, vol. 46(5), pages 1575-617, December.
[Downloadable!] (restricted)
Rosa, Carlo & Verga, Giovanni, 2007.
"On the consistency and effectiveness of central bank communication: Evidence from the ECB ,"
European Journal of Political Economy ,
Elsevier, vol. 23(1), pages 146-175, March.
[Downloadable!] (restricted)
Jon Faust & John H. Rogers & Shing-Yi B. Wang & Jonathan H. Wright, 2003.
"The high-frequency response of exchange rates and interest rates to macroeconomic announcements ,"
International Finance Discussion Papers
784, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Other versions:
Faust, Jon & Rogers, John H. & Wang, Shing-Yi B. & Wright, Jonathan H., 2007.
"The high-frequency response of exchange rates and interest rates to macroeconomic announcements ,"
Journal of Monetary Economics ,
Elsevier, vol. 54(4), pages 1051-1068, May.
[Downloadable!] (restricted) Lars E.O. Svensson, 2006.
"The Instrument-Rate Projection under Inflation Targeting: The Norwegian Example ,"
Working Papers
75, Princeton University, Department of Economics, Center for Economic Policy Studies..
[Downloadable!]
Full
references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Carlo Rosa & Giovanni Verga, 2008.
"The Impact of Central Bank Announcements on Asset Prices in Real Time ,"
International Journal of Central Banking ,
International Journal of Central Banking, vol. 4(2), pages 175-217, June.
[Downloadable!]
Access and
download statistics Did you know? About 2700 working paper series are listed on RePEc .
This page was last updated on 2009-11-18.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .