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Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
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TY - JOUR
T1 - The Impact of ECB and FED announcements on the Euro interest rates
AU - Monticini, Andrea
AU - Peel, David
AU - Vaciago, Giacomo
PY - 2011/11
Y1 - 2011/11
N2 - 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.
AB - 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.
KW - Monetary policy shocks
KW - Identification
KW - Wild bootstrap
U2 - 10.1016/j.econlet.2011.05.024
DO - 10.1016/j.econlet.2011.05.024
M3 - Journal article
VL - 113
SP - 139
EP - 142
JO - Economics Letters
JF - Economics Letters
SN - 0165-1765
IS - 2
ER -