The Impact of ECB and FED announcements on the Euro Interest Rates

Andrea Monticini, Giacomo Vaciago, David Peel

Research output: Contribution to journalArticlepeer-review

5 Citations (Scopus)

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.
Original languageEnglish
Pages (from-to)139-142
Number of pages4
JournalEconomics Letters
DOIs
Publication statusPublished - 2011

Keywords

  • Interest rates

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