Asset price reactions to RPI announcements
UK asset price reactions to RPI announcements are examined from the early 1980s up to April 1997. Announcements are decomposed into their expected and unexpected components using survey data on inflation expectations. Asset prices do not appear to respond to the expected component of announcements, consistent with the predictions of the efficient markets hypothesis. The main sensitivity to inflation news appears in government bond prices, and the results are consistent with the 1992-97 inflation targeting regime being not fully credible, though its credibility increased over time.
|Date of creation:||Mar 1999|
|Contact details of provider:|| Postal: Bank of England, Threadneedle Street, London, EC2R 8AH|
Phone: +44 (0)171 601 4030
Fax: +44 (0)171 601 5196
Web page: http://www.bankofengland.co.uk/
More information through EDIRC
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.:
- Cornell, Bradford, 1983. "The Money Supply Announcements Puzzle: Review and Interpretation," American Economic Review, American Economic Association, vol. 73(4), pages 644-57, September.
When requesting a correction, please mention this item's handle: RePEc:boe:boeewp:94. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Digital Media Team)
If references are entirely missing, you can add them using this form.