文章基本信息

标题：The Impact of Central Bank Announcements on Asset Prices in Real Time: Testing the Efficiency of the Euribor Futures Market
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作者：Carlo Rosa, Giovanni Verga
期刊名称：CEP Discussion Paper
出版年度：2006
卷号：2006
期号：nov
出版社：Centre for Economic Performance
摘要：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
关键词：market efficiency, central bank communication, news shock, tickby-tick Euribor futures data, event-study analysis