ECB paper on market responses to policy decisions

The ECB Working Paper "Using intraday data to gauge financial market responses to Fed and ECB monetary policy decisions" examines bond and stock market volatility reactions in the euro area and the US following their respective economies' monetary policy decisions, over a uniform sample period (April 1999 to May 2006).

For this purpose, intraday data on the US and euro area bond and stock markets are used. A strong upsurge in intraday volatility at the time of the release of the monetary policy

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