Abstract for:
The Impact of Central Bank Announcements on Asset Prices in Real Time: Testing the Efficiency of the Euribor Futures Market
Carlo
Rosa,
Giovanni
Verga,
December 2006
Paper No' CEPDP0764:
|
Full paper 
Save Reference as: 
BibTeX File | 
EndNote Import File
Keywords: market efficiency; central bank communication, news shock, tickby-tick Euribor futures data, event-study analysis.
JEL Classification: E52; E58; G14
Is hard copy/paper copy available?
YES - Paper Copy Still In Print.
This Paper is published under the following series:
CEP Discussion Papers
Share:
Google Bookmarks |
Facebook |
Twitter
Abstract:
This paper examines the effect of European Central Bank communication on the price
discovery process in the Euribor futures market using a new tick-by-tick dataset. First, we
show that two pieces of news systematically hit financial markets on Governing Council
meeting days: the ECB policy rate decision and the explanation of its monetary policy stance.
Second, we find that the unexpected component of ECB explanations has a significant and
sizeable impact on futures prices. This indicates that the ECB has already acquired some
credibility: financial markets seem to believe that it does what it says it will do. Finally, our
results suggest that the Euribor futures market is semi-strong form informational efficient.