The impact of central bank announcements on asset prices in real time
Subtitle: testing the efficiency of the Euribor futures market
By: Carlo Rosa, Giovanni Verga
Contributors: Verga, Giovanni; London School of Economics and Political Science. Centre for Economic Performance
Series: CEP discussion paper -- no. 764
Publisher: Centre for Economic Performance, London School of Economics and Political Science
Published: 2006
Place of publication: London
Language: eng
Format: [electronic resource] :
Description: 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.
Notes: Title from publisher's abstract page (viewed on Jan. 5, 2007).

"December 2006."

Includes bibliographical references.

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