Monticini, Andrea; Peel, David; Vaciago, Giacomo - Sezione di Economia e Finanza (DISEFIN), Facoltà di … - 2010
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...