Scheduled Announcements and Volatility Patterns: The Effects of Monetary Policy Committee Announcements on LIBOR and Short Sterling Futures and Options
AbstractBoth the UK spot and futures markets in short term interest rates are found to react strongly to surprises in the scheduled announcements of the repo rate and RPI. Therefore these announcements should also affect the market for options on short term interest rates. Because the repo rate and RPI announcements are scheduled, the options market can predict the days on which announcement shocks may hit, and build this information into its volatility expectations.
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Bibliographic InfoPaper provided by University of Southampton - Department of Accounting and Management Science in its series Papers with number 01-177.
Length: 26 pages
Date of creation: 2001
Date of revision:
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Postal: University of Southampton, Department of Accounting & Mangement Science, Southampton S09 5NH UK.
Phone: 44 0173 592537/592555
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Web page: http://www.soton.ac.uk/~econweb/
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