Equal size, equal role? Interest rate interdependence between the Euro area and the United States
Author
Suggested Citation
Download full text from publisher
Other versions of this item:
- Michael Ehrmann & Marcel Fratzscher, 2005. "Equal Size, Equal Role? Interest Rate Interdependence Between the Euro Area and the United States," Economic Journal, Royal Economic Society, vol. 115(506), pages 928-948, October.
- Michael Ehrmann & Marcel Fratzscher, 2004. "Equal size, equal role? interest rate interdependence between the euro area and the United States," International Finance Discussion Papers 800, Board of Governors of the Federal Reserve System (U.S.).
References listed on IDEAS
- repec:bla:intfin:v:6:y:2003:i:3:p:309-28 is not listed on IDEAS
- Kuttner, Kenneth N., 2001.
"Monetary policy surprises and interest rates: Evidence from the Fed funds futures market,"
Journal of Monetary Economics, Elsevier, vol. 47(3), pages 523-544, June.
- Kenneth N. Kuttner, 2000. "Monetary policy surprises and interest rates: evidence from the Fed funds futures markets," Staff Reports 99, Federal Reserve Bank of New York.
- Kim, Suk-Joong & Sheen, Jeffrey, 2000.
"International linkages and macroeconomic news effects on interest rate volatility -- Australia and the US,"
Pacific-Basin Finance Journal, Elsevier, vol. 8(1), pages 85-113, March.
- Kim, Suk-Joong & Sheen, Jeffrey, 1998. "International Linkages and Macroeconomic News Effects on Interest Rate Volatility - Australia and the US'," Working Papers 11, University of Sydney, School of Economics.
- Michael Ehrmann & Marcel Fratzscher, 2003.
"Interdependence between the Euro area and the U.S.: what role for EMU?,"
Proceedings, Board of Governors of the Federal Reserve System (U.S.).
- Ehrmann, Michael & Fratzscher, Marcel, 2002. "Interdependence between the euro area and the US: what role for EMU?," Working Paper Series 200, European Central Bank.
- Linda S. Goldberg & Deborah Leonard, 2003. "What moves sovereign bond markets? The effects of economic news on U.S. and German yields," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 9(Sep).
- Bikhchandani, Sushil & Hirshleifer, David & Welch, Ivo, 1992.
"A Theory of Fads, Fashion, Custom, and Cultural Change in Informational Cascades,"
Journal of Political Economy, University of Chicago Press, vol. 100(5), pages 992-1026, October.
- Sushil Bikhchandani & David Hirshleifer & Ivo Welch, 2010. "A theory of Fads, Fashion, Custom and cultural change as informational Cascades," Levine's Working Paper Archive 1193, David K. Levine.
- 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.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," NBER Working Papers 8959, National Bureau of Economic Research, Inc.
- Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," Working Papers 02-16, Duke University, Department of Economics.
- Anderson, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," Working Papers 02-1, University of Pennsylvania, Wharton School, Weiss Center.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange?," Center for Financial Institutions Working Papers 02-23, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Gaspar, Vitor & Perez-Quiros, Gabriel & Sicilia, Jorge, 2001.
"The ECB Monetary Policy Strategy and the Money Market,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 6(4), pages 325-342, October.
- Vítor Gaspar & Gabriel Perez-Quiros & Jorge Sicilia, 2001. "The ECB monetary policy strategy and the money market," Working Papers 47, Oesterreichische Nationalbank (Austrian Central Bank).
- Pérez Quirós, Gabriel & Sicilia, Jorge & Gaspar, Vítor, 2001. "The ECB monetary policy strategy and the money market," Working Paper Series 69, European Central Bank.
- Andrews, Donald W K & Ploberger, Werner, 1994.
"Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative,"
Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November.
- Donald W.K. Andrews & Werner Ploberger, 1992. "Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative," Cowles Foundation Discussion Papers 1015, Cowles Foundation for Research in Economics, Yale University.
- Faust, Jon & Rogers, John H. & Wang, Shing-Yi B. & Wright, Jonathan H., 2007.
"The high-frequency response of exchange rates and interest rates to macroeconomic announcements,"
Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1051-1068, May.
- Jon Faust & John H. Rogers & Shing-Yi Wang & Jonathan H. Wright, 2003. "The high-frequency response of exchange rates and interest rates to macroeconomic announcements," International Finance Discussion Papers 784, Board of Governors of the Federal Reserve System (U.S.).
- Michael J. Fleming & Eli M Remolona, 1999.
"The term structure of announcement effects,"
BIS Working Papers
71, Bank for International Settlements.
- Michael J. Fleming & Eli M. Remolona, 1999. "The term structure of announcement effects," Staff Reports 76, Federal Reserve Bank of New York.
- repec:bla:ecnote:v:32:y:2003:i:3:p:371-398 is not listed on IDEAS
- Mr. Thomas Helbling & Mr. Tamim Bayoumi, 2003. "Are they All in the Same Boat? the 2000-2001 Growth Slowdown and the G-7 Business Cycle Linkages," IMF Working Papers 2003/046, International Monetary Fund.
- Michael Ehrmann & Marcel Fratzscher, 2003. "Monetary Policy Announcements and Money Markets: A Transatlantic Perspective," International Finance, Wiley Blackwell, vol. 6(3), pages 309-328, November.
- Daniel L. Thornton, 1998. "Tests of the market's reaction to federal funds rate target changes," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 25-36.
- Abhijit V. Banerjee, 1992. "A Simple Model of Herd Behavior," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 107(3), pages 797-817.
- Toni Gravelle & Richhild Moessner, 2001. "Reactions of Canadian Interest Rates to Macroeconomic Announcements: Implications for Monetary Policy Transparency," Staff Working Papers 01-5, Bank of Canada.
- repec:bla:jfinan:v:53:y:1998:i:1:p:219-265 is not listed on IDEAS
- McQueen, Grant & Roley, V Vance, 1993. "Stock Prices, News, and Business Conditions," The Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 683-707.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Ehrmann, Michael & Fratzscher, Marcel, 2004. "Equal size, equal role? Interdependence between the euro area and the United States," Working Paper Series 342, European Central Bank.
- Tuysuz, Sukriye, 2007. "The asymmetric impact of macroeconomic announcements on U.S. Government bond rate level and volatility," MPRA Paper 5381, University Library of Munich, Germany.
- Michael Ehrmann & Marcel Fratzscher, 2003.
"Interdependence between the Euro area and the U.S.: what role for EMU?,"
Proceedings, Board of Governors of the Federal Reserve System (U.S.).
- Ehrmann, Michael & Fratzscher, Marcel, 2002. "Interdependence between the euro area and the US: what role for EMU?," Working Paper Series 200, European Central Bank.
- Michael Ehrmann & Marcel Fratzscher, 2003.
"Interdependence between the Euro area and the U.S.: what role for EMU?,"
Proceedings,
Board of Governors of the Federal Reserve System (U.S.).
- Ehrmann, Michael & Fratzscher, Marcel, 2002. "Interdependence between the euro area and the US: what role for EMU?," Working Paper Series 0200, European Central Bank.
- Michael Ehrmann & Marcel Fratzscher & Roberto Rigobon, 2011.
"Stocks, bonds, money markets and exchange rates: measuring international financial transmission,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 948-974, September.
- Michael Ehrmann & Marcel Fratzscher & Roberto Rigobon, 2005. "Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission," NBER Working Papers 11166, National Bureau of Economic Research, Inc.
- Ehrmann, Michael & Fratzscher, Marcel & Rigobon, Roberto, 2005. "Stocks, bonds, money markets and exchange rates: measuring international financial transmission," Working Paper Series 452, European Central Bank.
- Ehrmann, Michael & Talmi, Jonathan, 2020.
"Starting from a blank page? Semantic similarity in central bank communication and market volatility,"
Journal of Monetary Economics, Elsevier, vol. 111(C), pages 48-62.
- Michael Ehrmann & Jonathan Talmi, 2016. "Starting from a Blank Page? Semantic Similarity in Central Bank Communication and Market Volatility," Staff Working Papers 16-37, Bank of Canada.
- Ehrmann, Michael & Talmi, Jonathan, 2017. "Starting from a blank page? Semantic similarity in central bank communication and market volatility," Working Paper Series 2023, European Central Bank.
- TUYSUZ, Sukriye, 2007. "Central Bank transparency and the U.S. interest rates level and volatility response to U.S. news," MPRA Paper 5217, University Library of Munich, Germany.
- Ehrmann, Michael & Fratzscher, Marcel, 2005.
"Exchange rates and fundamentals: new evidence from real-time data,"
Journal of International Money and Finance, Elsevier, vol. 24(2), pages 317-341, March.
- Ehrmann, Michael & Fratzscher, Marcel, 2004. "Exchange rates and fundamentals: new evidence from real-time data," Working Paper Series 365, European Central Bank.
- Andersson, Magnus & Hansen, Lars Jul & Sebestyén, Szabolcs, 2006. "Which news moves the euro area bond market?," Working Paper Series 631, European Central Bank.
- Paiardini, Paola, 2014. "The impact of economic news on bond prices: Evidence from the MTS platform," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 302-322.
- Tamim Bayoumi & Andrew Swiston, 2010.
"The Ties that Bind: Measuring International Bond Spillovers Using Inflation-Indexed Bond Yields,"
IMF Staff Papers, Palgrave Macmillan, vol. 57(2), pages 366-406, June.
- Mr. Andrew J Swiston & Mr. Tamim Bayoumi, 2007. "The Ties that Bind: Measuring International Bond Spillovers Using Inflation-Indexed Bond Yields," IMF Working Papers 2007/128, International Monetary Fund.
- Michael Ehrmann & Marcel Fratzscher, 2009.
"Explaining Monetary Policy in Press Conferences,"
International Journal of Central Banking, International Journal of Central Banking, vol. 5(2), pages 42-84, June.
- Ehrmann, Michael & Fratzscher, Marcel, 2007. "Explaining monetary policy in press conferences," Working Paper Series 767, European Central Bank.
- Tuysuz, Sukriye & Kuhry, Yves, 2007. "Interactions between interest rates and the transmission of monetary and economic news: the cases of US and UK," MPRA Paper 5255, University Library of Munich, Germany.
- Michael Ehrmann & Marcel Fratzscher, 2003. "Monetary Policy Announcements and Money Markets: A Transatlantic Perspective," International Finance, Wiley Blackwell, vol. 6(3), pages 309-328, November.
- Ms. Carolina Osorio-Buitron & Mr. Esteban Vesperoni, 2015. "Big Players Out of Synch: Spillovers Implications of US and Euro Area Shocks," IMF Working Papers 2015/215, International Monetary Fund.
- Faust, Jon & Rogers, John H. & Wang, Shing-Yi B. & Wright, Jonathan H., 2007.
"The high-frequency response of exchange rates and interest rates to macroeconomic announcements,"
Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1051-1068, May.
- Jon Faust & John H. Rogers & Shing-Yi Wang & Jonathan H. Wright, 2003. "The high-frequency response of exchange rates and interest rates to macroeconomic announcements," International Finance Discussion Papers 784, Board of Governors of the Federal Reserve System (U.S.).
- Ellis Connolly & Marion Kohler, 2004.
"News and Interest Rate Expectations: A Study of Six Central Banks,"
RBA Annual Conference Volume (Discontinued), in: Christopher Kent & Simon Guttmann (ed.),The Future of Inflation Targeting,
Reserve Bank of Australia.
- Ellis Connolly & Marion Kohler, 2004. "News and Interest Rate Expectations: A Study of Six Central Banks," RBA Research Discussion Papers rdp2004-10, Reserve Bank of Australia.
- Michael Ehrmann & Marcel Fratzscher & Refet S Güürkaynak & Eric T Swanson, 2011.
"Convergence and Anchoring of Yield Curves in the Euro Area,"
The Review of Economics and Statistics, MIT Press, vol. 93(1), pages 350-364, February.
- Ehrmann, Michael & Fratzscher, Marcel & Gürkaynak, Refet & Swanson, Eric T., 2007. "Convergence and Anchoring of Yield Curves in the Euro Area," CEPR Discussion Papers 6456, C.E.P.R. Discussion Papers.
- Ehrmann, Michael & Fratzscher, Marcel & Swanson, Eric & Gürkaynak, Refet S., 2007. "Convergence and anchoring of yield curves in the euro area," Working Paper Series 817, European Central Bank.
- Michael Ehrmann & Marcel Fratzscher & Refet S. Gürkaynak & Eric T. Swanson, 2007. "Convergence and anchoring of yield curves in the Euro area," Working Paper Series 2007-24, Federal Reserve Bank of San Francisco.
- Refet Gurkaynak & Marcel Fratzscher & Eric Swanson & Michael Ehrmann, 2009. "Convergence And Anchoring Of Yield Curves In The Euro Area," 2009 Meeting Papers 897, Society for Economic Dynamics.
- Grammatikos, Theoharry & Lehnert, Thorsten & Otsubo, Yoichi, 2015.
"Market perceptions of US and European policy actions around the subprime crisis,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 37(C), pages 99-113.
- Yoichi Otsubo & Theoharry Grammatikos & Thorsten Lehnert, 2012. "Market Perceptions of US and European Policy Actions Around the Subprime Crisis," LSF Research Working Paper Series 12-14, Luxembourg School of Finance, University of Luxembourg.
- Theoharry Grammatikos & Thorsten Lehnert & Yoichi Otsubo, 2014. "Market Perceptions of US and European Policy Actions Around the Subprime Crisis," IMES Discussion Paper Series 14-E-11, Institute for Monetary and Economic Studies, Bank of Japan.
- Linda S. Goldberg & Deborah Leonard, 2003. "What moves sovereign bond markets? The effects of economic news on U.S. and German yields," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 9(Sep).
More about this item
Keywords
interdependence; announcements; news; money markets; real-time data; United States; euro area;All these keywords.
JEL classification:
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:cfswop:200346. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/ifkcfde.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.