文章基本信息

标题：The Impact of Central Bank Announcements on Asset Prices in Real Time
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作者：Carlo Rosa ; Giovanni Verga
期刊名称：International Journal of Central Banking
印刷版ISSN：1815-4654
出版年度：2008
卷号：2008
期号：02
出版社：IJCB Publications Fulfillment
摘要：This paper examines the effect of European Central Bank (ECB) communication on the price discovery process in the Euribor futures market using a new tick-by-tick data set. 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 sizable impact on futures prices. Third, we investigate how communication interacts with learning by the public about the credibility of the central bank: financial market participants needed around three years, from 1999 through 2001, to learn how to interpret and believe ECB announcements. Finally, our results suggest that the Euribor futures market is efficient.