Are Europe Interest Rates led by FED's Announcements?

Monticini and Vaciago
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Monticini: Università Cattolica del Sacro Cuore -Istituto Economia e Finanza -
Vaciago: Università Cattolica del Sacro Cuore -Istituto Economia e Finanza -

Macroeconomics from EconWPA

Abstract: 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.

Keywords: interdependence; announcements; term structure (search for similar items in EconPapers)
JEL-codes: E4 E43 E52 F42 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-eec, nep-mac and nep-mon
Date: 2004-07-20
Note: Type of Document - pdf; pages: 18
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpma:0407025

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