Are Europe's Interest Rates led by FED Announcements?

Andrea Monticini and Giacomo Vaciago
Additional contact information
Andrea Monticini: University of Exeter
Giacomo Vaciago: Università Cattolica del Sacro Cuore

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 Great Britain. Using daily interest rates, we estimate the impact of monetary policy announcements of a Central Bank on its domestic market and in what measure those announcements are able to influence other financial markets. In particular, we analyse the effect of the FED, ECB, and BoE monetary policy announcements on European markets. We find that Europe’s interest rates have a relevant response to FED announcements.

Keywords: Monetary policy; Term structure of interest rates. (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-cba, nep-eec, nep-fmk, nep-mac and nep-mon
Date: 2005-07-21
Note: Type of Document - pdf; pages: 21
View list of references View citations in EconPapers

Downloads: (external link)
http://129.3.20.41/eps/mac/papers/0507/0507022.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Access Statistics for this paper

More papers in Macroeconomics from EconWPA
Series data maintained by EconWPA ().