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Scheduled Announcements and Volatility Patterns: The Effects of Monetary Policy Committee Announcements on LIBOR and Short Sterling Futures and Options

Author

Listed:
  • Sun, P.
  • Sutcliffe, C.

Abstract

Both the UK spot and futures markets in short term interest rates are found to react strongly to surprises in the scheduled announcements of the repo rate and RPI. Therefore these announcements should also affect the market for options on short term interest rates. Because the repo rate and RPI announcements are scheduled, the options market can predict the days on which announcement shocks may hit, and build this information into its volatility expectations.

Suggested Citation

  • Sun, P. & Sutcliffe, C., 2001. "Scheduled Announcements and Volatility Patterns: The Effects of Monetary Policy Committee Announcements on LIBOR and Short Sterling Futures and Options," Papers 01-177, University of Southampton - Department of Accounting and Management Science.
    • Handle: RePEc:fth:sotoam:01-177
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    Cited by:

    1. Jieun Lee & Doojin Ryu, 2019. "The impacts of public news announcements on intraday implied volatility dynamics," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(6), pages 656-685, June.
    2. Vahamaa, Sami, 2005. "Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB," Journal of Economics and Business, Elsevier, vol. 57(1), pages 23-38.
    3. Osborne, Matthew, 2016. "Monetary policy and volatility in the sterling money market," Bank of England working papers 588, Bank of England.
    4. Adrian Fernandez‐Perez & Raquel López, 2023. "The effect of macroeconomic news announcements on the implied volatility of commodities: The role of survey releases," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(11), pages 1499-1530, November.
    5. López, Raquel, 2018. "The behaviour of energy-related volatility indices around scheduled news announcements: Implications for variance swap investments," Energy Economics, Elsevier, vol. 72(C), pages 356-364.

    More about this item

    Keywords

    MONETARY POLICY ; INTEREST RATE ; MARKET;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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