The impact of European Central Bank Governing Council announcements on the foreign exchange market: A microstructural analysis

Journal of International Money and Finance

Volumn 23, Issue 7-8, 2004, Pages 1043-1051

  Sager, Michael J ^a,b   Taylor, Mark P ^a,c  

^a UNIVERSITY OF WARWICK   (United Kingdom)

^b Putnam Investments   (United States)

^c CEPR   (United Kingdom)

Author keywords

Endogenous Markov switching; Euro; Interest rates

Indexed keywords

EID: 10144241690     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jimonfin.2004.08.002     Document Type: Article

References (2)

1. Diebold F. Lee J.-H. Weinbach G. Regime switching with time-varying transition probabilities. In: Hargreaves C. (Ed.), Nonstationary Time Series Analysis and Cointegration. 1994 283-302 Oxford University Press Oxford and New York
2. Melvin, M., Sager, M.J., Taylor, M.P. 2004, Can an Old Lady Keep a Secret? A Microstructural Analysis of UK Monetary Policy Committee Announcements and the Foreign Exchange Market. Working Paper, Centre for Economic Policy Research, London.