The Impact of Central Bank Announcements on Asset Prices in Real Time by Carlo Rosa, Giovanni Verga

The Impact of Central Bank Announcements on Asset Prices in Real Time

Carlo Rosa, Giovanni Verga

46 pages missing pub info (editions)

nonfiction politics
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Description

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...

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