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The impact of ECB and FED announcements on the Euro interest rates

Andrea Monticini, David Peel and Giacomo Vaciago ()

Economics Letters, 2011, vol. 113, issue 2, 139-142

Abstract: 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.

Keywords: Monetary policy shocks; Identification; Wild bootstrap (search for similar items in EconPapers)
JEL-codes: E40 E52 (search for similar items in EconPapers)
Date: 2011
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Working Paper: The Impact of ECB and FED announcements on the Euro Interest Rates (2010) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:113:y:2011:i:2:p:139-142

DOI: 10.1016/j.econlet.2011.05.024

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