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Scheduled Announcements and Volatility Patterns: The Effects of Monetary Policy Committee Announcements on LIBOR and Short Sterling Futures and Options

Listed author(s):
  • Sun, P.
  • Sutcliffe, C.

Both 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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Paper provided by University of Southampton - Department of Accounting and Management Science in its series Papers with number 01-177.

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Length: 26 pages
Date of creation: 2001
Handle: RePEc:fth:sotoam:01-177
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