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

Andrea Monticini; David Peel; Giacomo Vaciago

doi:10.1016/j.econlet.2011.05.024

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

Andrea Monticini
, David Peel
, Giacomo Vaciago

Lancaster University

Research output: Contribution to journal › Article › peer-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 language	English
Pages (from-to)	139-142
Number of pages	4
Journal	Economics Letters
DOIs	https://doi.org/10.1016/j.econlet.2011.05.024
Publication status	Published - 2011

Keywords

Interest rates

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10.1016/j.econlet.2011.05.024

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title = "The Impact of ECB and FED announcements on the Euro Interest Rates",

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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journal = "Economics Letters",

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AU - Monticini, Andrea

AU - Peel, David

AU - Vaciago, Giacomo

PY - 2011

Y1 - 2011

N2 - 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.

AB - 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.

KW - Interest rates

UR - http://hdl.handle.net/10807/1919

U2 - 10.1016/j.econlet.2011.05.024

DO - 10.1016/j.econlet.2011.05.024

M3 - Article

SN - 0165-1765

SP - 139

EP - 142

JO - Economics Letters

JF - Economics Letters

ER -

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

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