Interest rate expectations and uncertainty during ECB governing council days: evidence from intraday implied densities of 3-month Euribor
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- Vergote, Olivier & Puigvert Gutiérrez, Josep Maria, 2012. "Interest rate expectations and uncertainty during ECB Governing Council days: Evidence from intraday implied densities of 3-month EURIBOR," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2804-2823.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Roberto Casarin & Fabrizio Leisen & German Molina & Enrique ter Horst, 2014.
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- Jung, Alexander, 2016. "Have monetary data releases helped markets to predict the interest rate decisions of the European Central Bank?," Working Paper Series 1926, European Central Bank.
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More about this item
Keywordsannouncement effects; central bank communication; interest rate expectations; intraday analysis; option-implied densities; risk-neutral probability density functions; tick data;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- 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
- E61 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Policy Objectives; Policy Designs and Consistency; Policy Coordination
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-11-14 (All new papers)
- NEP-CBA-2011-11-14 (Central Banking)
- NEP-MON-2011-11-14 (Monetary Economics)
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