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The impact of European Central Bank Governing Council announcements on the foreign exchange market : a microstructural analysis
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Sagar, Michael J. and Taylor, Mark P. (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 Finance, Univ Rome, Rome, ITALY, Dec 2003. Published in: Journal of International Money and Finance, 23 (7-8). pp. 1043-1051. doi:10.1016/j.jimonfin.2004.08.002 ISSN 0261-5606.
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Official URL: http://dx.doi.org/10.1016/j.jimonfin.2004.08.002
Abstract
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 (Paper) | ||||
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Subjects: | H Social Sciences > HG Finance | ||||
Divisions: | Faculty of Social Sciences > Warwick Business School | ||||
Journal or Publication Title: | Journal of International Money and Finance | ||||
Publisher: | Elsevier BV | ||||
ISSN: | 0261-5606 | ||||
Official Date: | 2004 | ||||
Dates: |
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Volume: | 23 | ||||
Number: | 7-8 | ||||
Number of Pages: | 9 | ||||
Page Range: | pp. 1043-1051 | ||||
DOI: | 10.1016/j.jimonfin.2004.08.002 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access | ||||
Conference Paper Type: | Paper | ||||
Title of Event: | 12th International Conference on Banking and Finance | ||||
Type of Event: | Conference | ||||
Location of Event: | Univ Rome, Rome, ITALY | ||||
Date(s) of Event: | Dec 2003 |
Data sourced from Thomson Reuters' Web of Knowledge
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