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Co-Movements Of Regime Shifts In Gbp Currency Pairs Around Boe Quantitative Easing Announcements

Author

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  • LUPU, Radu

    (Institute for Economic Forecasting, Romanian Academy)

  • CALIN, Adrian Cantemir

    (Institute for Economic Forecasting, Romanian Academy)

Abstract

In the current post-crisis era, the events with the highest probability to move the financial markets are the announcements of financial authorities concerning the quantitative easing decisions. The objective of this paper is to build an analysis of the existence of connections among the GBP currency pairs in terms of regime switching that could be related to the moments when the Bank of England generated announcements about its monetary decisions.

Suggested Citation

  • LUPU, Radu & CALIN, Adrian Cantemir, 2014. "Co-Movements Of Regime Shifts In Gbp Currency Pairs Around Boe Quantitative Easing Announcements," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 18(3), pages 89-101.
  • Handle: RePEc:vls:finstu:v:18:y:2014:i:3:p:89-101
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    References listed on IDEAS

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    Cited by:

    1. POPOVICI, Oana Cristina, 2015. "A Volatility Analysis Of The Euro Currency And The Bond Market," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 19(1), pages 67-79.
    2. Adrian Cantemir Călin, 2015. "Eloquence is The Key – the Impact of Monetary Policy Speeches on Exchange Rate Volatility," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 18(56), pages 3-18, June,.
    3. CĂLIN, Adrian Cantemir, 2015. "The Effects Of The Federal Reserve’S Tapering Announcements On The Us Real Estate Market," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 19(3), pages 79-90.
    4. Adrian Cantemir CĂLIN & Radu LUPU, 2016. "The Effects Of Labor Market News On International Financial Markets," Romanian Economic Business Review, Romanian-American University, vol. 11(2), pages 207-215, June.

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    More about this item

    Keywords

    quantitative easing; regime shifts; foreign exchange market;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • F34 - International Economics - - International Finance - - - International Lending and Debt Problems
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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