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Have markets reacted differently to macroeconomic and monetary policy news since 1997? An empirical analysis of UK intraday trades and prices

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  • Oliver Burrows

    (Bank of England)

  • Anne Vila Wetherilt

    (Bank of England)

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  • Oliver Burrows & Anne Vila Wetherilt, 2004. "Have markets reacted differently to macroeconomic and monetary policy news since 1997? An empirical analysis of UK intraday trades and prices," Money Macro and Finance (MMF) Research Group Conference 2004 75, Money Macro and Finance Research Group.
    • Handle: RePEc:mmf:mmfc04:75
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    References listed on IDEAS

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    1. Jeffery D. Amato & Stephen Morris & Hyun Song Shin, 2002. "Communication and Monetary Policy," Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 18(4), pages 495-503.
    2. Michael J. Fleming & Eli M Remolona, 1999. "The term structure of announcement effects," BIS Working Papers 71, Bank for International Settlements.
    3. Bank for International Settlements, 2001. "The implications of electronic trading in financial markets," CGFS Papers, Bank for International Settlements, number 16, december.
    4. Ederington, Louis H & Lee, Jae Ha, 1993. "How Markets Process Information: News Releases and Volatility," Journal of Finance, American Finance Association, vol. 48(4), pages 1161-1191, September.
    5. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2003. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," American Economic Review, American Economic Association, vol. 93(1), pages 38-62, March.
    6. Ederington, Louis H. & Lee, Jae Ha, 1995. "The Short-Run Dynamics of the Price Adjustment to New Information," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(1), pages 117-134, March.
    7. Wang, Jiang, 1994. "A Model of Competitive Stock Trading Volume," Journal of Political Economy, University of Chicago Press, vol. 102(1), pages 127-168, February.
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