Ehrmann, Michael; Fratzscher, Marcel; Gürkaynak, Refet S. - 2007
refers to levels while event studies using
surprises employ changes in yields—the object of interest is the returns. It is … studies find that far-ahead forward interest rates in the US respond to
macroeconomic announcements, while those in the UK … different in one of the
8
While they focus, as all other studies, on monthly …