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

Abstract

Introduction 2 The impact of news on financial assets and its relation to transparency Error! Bookmark not defined. 3 Literature review 4 Data description 4.1 Intraday prices, number of trades and trading volume 4.2 Announcements and surprises 5 How to measure announcement effects 6 The effect of macroeconomic announcements on yields: the macro hypothesis 6.1 The effect of UK macro announcements on Short Sterling and Long Gilt 6.2 The Effect of Bank independence 6.3 International macro indicators 6.4 Controlling for uncertainty 7 Testing the macro hypothesis for the United States 8 The effect of macro announcements on volatility and trades-the micro hypothesis 8.1 The effects on volatility 8.2 The effect on trades 9 Conclusion Appendices

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