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

  • Kaketsis, Asimakis
  • Sarantis, Nicholas
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    File URL: http://www.sciencedirect.com/science/article/B6W4V-4F31MBJ-1/2/ad384075d30a49e65d88f0471631f7f2
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    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
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620165

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    1. 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.
    2. 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.
    3. 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 11, CREFE, Université du Québec à Montréal.
    4. A. Craig MacKinlay, 1997. "Event Studies in Economics and Finance," Journal of Economic Literature, American Economic Association, vol. 35(1), pages 13-39, March.
    5. 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.
    6. 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, vol. 24(3), pages 331-351, November.
    7. 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.
    8. 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.
    9. Daniel L. Thornton, 1992. "Why do T-bill rates react to discount rate changes?," Working Papers 1992-004, Federal Reserve Bank of St. Louis.
    10. Glenn D. Rudebusch, 1995. "Federal Reserve interest rate targeting, rational expectations, and the term structure," Working Papers in Applied Economic Theory 95-02, Federal Reserve Bank of San Francisco.
    11. 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.
    12. Brown, Stephen J. & Warner, Jerold B., 1980. "Measuring security price performance," Journal of Financial Economics, Elsevier, vol. 8(3), pages 205-258, September.
    13. Claudio E. V. Borio, 1997. "Monetary policy operating procedures in industrial countries," BIS Working Papers 40, Bank for International Settlements.
    14. 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.
    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. 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, vol. 27(3), pages 838-47, August.
    17. 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, vol. 20(2), pages 167-80, May.
    18. Boehmer, Ekkehart & Masumeci, Jim & Poulsen, Annette B., 1991. "Event-study methodology under conditions of event-induced variance," Journal of Financial Economics, Elsevier, vol. 30(2), pages 253-272, December.
    19. 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.
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