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Are Europe Interest Rates led by FED's Announcements?

  • Monticini

    (Università Cattolica del Sacro Cuore -Istituto Economia e Finanza -)

  • Vaciago

    (Università Cattolica del Sacro Cuore -Istituto Economia e Finanza -)

This paper investigates the degree and nature of economic and monetary policy relations among the United States, the euro area, and the British area. Using daily interest rates, we estimate the impact of monetary policy announcements of a Central Bank on its domestic market and in what measure they are able to influence other financial markets. In particular, we analyse the effect of the FED's, ECB's, and BoE's monetary policy announcements on their own market, and in the others.

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File URL: http://128.118.178.162/eps/mac/papers/0407/0407025.pdf
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Paper provided by EconWPA in its series Macroeconomics with number 0407025.

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Length: 18 pages
Date of creation: 20 Jul 2004
Date of revision:
Handle: RePEc:wpa:wuwpma:0407025
Note: Type of Document - pdf; pages: 18
Contact details of provider: Web page: http://128.118.178.162

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  1. Zeno Rotondi & Giacomo Vaciago, 2003. "The reputation of a newborn central bank," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 56(224), pages 3-22.
  2. David-Jan Jansen & Jakob de Haan, 2006. "Look who's talking: ECB communication during the first years of EMU," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(3), pages 219-228.
  3. Kuttner, Kenneth N., 2001. "Monetary policy surprises and interest rates: Evidence from the Fed funds futures market," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 523-544, June.
  4. Fritz Breuss, 2002. "Was ECB's monetary policy optimal?," Atlantic Economic Journal, International Atlantic Economic Society, vol. 30(3), pages 298-319, September.
  5. Joel T. Krueger & Kenneth N. Kuttner, 1995. "The Fed funds futures rate as a predictor of Federal Reserve policy," Working Paper Series, Macroeconomic Issues 95-4, Federal Reserve Bank of Chicago.
  6. William Poole & Robert H. Rasche, 2000. "Perfecting the market's knowledge of monetary policy," Working Papers 2000-010, Federal Reserve Bank of St. Louis.
  7. Gurkaynak, Refet S. & Sack, Brian T. & Swanson, Eric P., 2007. "Market-Based Measures of Monetary Policy Expectations," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 201-212, April.
  8. Wendy Edelberg & David Marshall, 1996. "Monetary policy shocks and long-term interest rates," Economic Perspectives, Federal Reserve Bank of Chicago, issue Mar, pages 2-17.
  9. Faust, Jon & Swanson, Eric T. & Wright, Jonathan H., 2004. "Identifying VARS based on high frequency futures data," Journal of Monetary Economics, Elsevier, vol. 51(6), pages 1107-1131, September.
  10. Toni Gravelle & Richhild Moessner, 2001. "Reactions of Canadian Interest Rates to Macroeconomic Announcements: Implications for Monetary Policy Transparency," Working Papers 01-5, Bank of Canada.
  11. Gabriel Pérez Quirós & Jorge Sicilia, 2002. "Is the European Central Bank (and the United States Federal Reserve) predictable?," Banco de Espa�a Working Papers 0229, Banco de Espa�a.
  12. William Poole & Robert H & Rasche & Daniel L. Thornton, 2002. "Market anticipations of monetary policy actions," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 65-94.
  13. Söderström, Ulf, 1999. "Predicting monetary policy using federal funds futures prices," SSE/EFI Working Paper Series in Economics and Finance 307, Stockholm School of Economics.
  14. M. Ehrmann & M. Fratzscher, 2003. "Interdependence between the Euro area and the U.S.: what role for EMU?," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
  15. Kevin Ross, 2002. "Market Predictability of ECB Monetary Policy Decisions; A Comparative Examination," IMF Working Papers 02/233, International Monetary Fund.
  16. Lange, Joe & Sack, Brian & Whitesell, William, 2003. " Anticipations of Monetary Policy in Financial Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 35(6), pages 889-909, December.
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