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

Andrea Monticini, David Peel and Giacomo Vaciago

No 2/2010, DEP - series of economic working papers from University of Genoa, Research Doctorate in Public Economics

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.

Keywords: monetary policy shocks; identification; wild bootstrap (search for similar items in EconPapers)
JEL-codes: E40 E52 (search for similar items in EconPapers)
Date: 2010-09
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-mon
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Citations: View citations in EconPapers (3)

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Journal Article: The impact of ECB and FED announcements on the Euro interest rates (2011)
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