Gregoriou, A; Kontonikas, A; MacDonald, R; Montagnoli, A - Department of Economics, Adam Smith Business School - 2006
This paper examines the impact of anticipated and unanticipated monetary policy announcements, of the Bank of England’s Monetary Policy Committee on UK sectoral stock returns. The monetary policy shock is generated from the change in the three-month sterling LIBOR futures contract. Using a...