Assessing the impact of macroeconomic news announcements on securities prices

Working papers set out research in progress by our staff, with the aim of encouraging comments and debate.
Published on 28 February 2001

Working Paper no. 125
By Andrew Clare and Roger Courtenay

In this paper we investigate the impact of UK macroeconomic news announcements on selected futures contracts and exchange rates. We include a wide set of scheduled public news announcements in our study, including: official interest rate decisions, the publication of the Bank of England’s Inflation Report, and the minutes of the Bank’s Monetary Policy Committee meetings. We investigate whether the reaction to these announcements has changed since the Bank of England was granted operational independence in May 1997. Our results indicate that there may well have been changes in the way that financial markets incorporate key economic data into securities prices. In particular, we document an increase in the speed of the reaction to interest rate announcements, but also some evidence of a fall in the size of the full reaction.

PDFAssessing the impact of macroeconomic news announcements on securities prices under different monetary policy regimes

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