Employing a new method of analysis suggested by Thornton (2009) we investigate the impact of news in the ECB and FED monetary policy announcements on daily changes in Euro interest rates. We document significant impacts of ECB announcements throughout the period but only until mid-2004 of FED announcements. The latter result on the news content of FED announcements is consistent with the analysis of Thornton (2009) who reports an insignificant impact of FED announcements on changes in US interest rates over a sample period that has significant overlap with the one employed in this letter.
Monticini, A., Peel, D., Vaciago, G., The Impact of ECB and FED announcements on the Euro Interest Rates, <<ECONOMICS LETTERS>>, 2011; (113): 139-142. [doi:10.1016/j.econlet.2011.05.024] [http://hdl.handle.net/10807/1919]
The Impact of ECB and FED announcements on the Euro Interest Rates
Monticini, Andrea;Vaciago, Giacomo
2011
Abstract
Employing a new method of analysis suggested by Thornton (2009) we investigate the impact of news in the ECB and FED monetary policy announcements on daily changes in Euro interest rates. We document significant impacts of ECB announcements throughout the period but only until mid-2004 of FED announcements. The latter result on the news content of FED announcements is consistent with the analysis of Thornton (2009) who reports an insignificant impact of FED announcements on changes in US interest rates over a sample period that has significant overlap with the one employed in this letter.
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