The impact of European Central Bank Governing Council announcements on the foreign exchange market: a microstructural analysis
UNSPECIFIED (2004) The impact of European Central Bank Governing Council announcements on the foreign exchange market: a microstructural analysis. In: 12th International Conference on Banking and Finanace, Univ Rome, Rome, ITALY, DEC, 2003. Published in: JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 23 (7-8). pp. 1043-1051.Full text not available from this repository.
Official URL: http://dx.doi.org/10.1016/j.jimonfin.2004.08.002
We examine the evidence regarding systematic patterns in the euro-dollar foreign exchange market on days when the Governing Council (GC) of the European Central Bank announces its interest rate decisions versus other days. We examine 5-minute data in a nonlinear framework allowing for switching between a high-volatility, informed-trading state and a low-volatility, liquidity-trading state. We find strong evidence that the GC policy announcements contain significant news content. Although there is some evidence of positioning in the hour prior to the announcement, this probably reflects dealers minimizing their exposure rather than evidence of information leakage. (C) 2004 Elsevier Ltd. All rights reserved.
|Item Type:||Conference Item (UNSPECIFIED)|
|Subjects:||H Social Sciences > HG Finance|
|Journal or Publication Title:||JOURNAL OF INTERNATIONAL MONEY AND FINANCE|
|Publisher:||ELSEVIER SCI LTD|
|Number of Pages:||9|
|Page Range:||pp. 1043-1051|
|Title of Event:||12th International Conference on Banking and Finanace|
|Location of Event:||Univ Rome, Rome, ITALY|
|Date(s) of Event:||DEC, 2003|
Actions (login required)