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

This paper investigates the impact of UK macroeconomic news announcements on selected futures contracts and exchange rates. A wide set of scheduled public news announcements is included in the 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. The study investigates whether the reaction to these announcements has changed since the Bank of England was granted operational independence in May 1997. The results indicate that there may well have been changes in the way that financial markets incorporate key economic data into securities prices. In particular, an increase in the speed of the reaction to interest rate announcements is discovered, but also there is evidence of a fall in the size of the full reaction.