Interest rate expectations and uncertainty during ECB governing council days: evidence from intraday implied densities of 3-month Euribor
Year of publication: |
2011
|
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Authors: | Vergote, Olivier ; Puigvert Gutiérrez, Josep Maria |
Publisher: |
Frankfurt a. M. : European Central Bank (ECB) |
Subject: | announcement effects | central bank communication | interest rate expectations | intraday analysis | option-implied densities | risk-neutral probability density functions | tick data |
Series: | ECB Working Paper ; 1391 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 676511082 [GVK] hdl:10419/153825 [Handle] RePEc:ecb:ecbwps:20111391 [RePEc] |
Classification: | C14 - Semiparametric and Nonparametric Methods ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; E52 - Monetary Policy (Targets, Instruments, and Effects) ; E58 - Central Banks and Their Policies ; E61 - Policy Objectives; Policy Designs and Consistency; Policy Coordination |
Source: |
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Vergote, Olivier, (2012)
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