CO-MOVEMENTS OF REGIME SHIFTS IN GBP CURRENCY PAIRS AROUND BOE QUANTITATIVE EASING ANNOUNCEMENTS

In the current post-crisis era, the events with the highest probability to move the financial markets are the announcements of financial authorities concerning the quantitative easing decisions. The objective of this paper is to build an analysis of the existence of connections among the GBP currency pairs in terms of regime switching that could be related to the moments when the Bank of England generated announcements about its monetary decisions.

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Year of publication:	2014
Authors:	LUPU, Radu ; CALIN, Adrian Cantemir
Published in:	Studii Financiare (Financial Studies). - Centrul de Cercetari Financiare si Monetare "Victor Slavescu" (CCFM). - Vol. 18.2014, 3, p. 89-101
Publisher:	Centrul de Cercetari Financiare si Monetare "Victor Slavescu" (CCFM)
Subject:	quantitative easing \| regime shifts \| foreign exchange market

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Type of publication:	Article
Classification:	G14 - Information and Market Efficiency; Event Studies ; F34 - International Lending and Debt Problems ; E44 - Financial Markets and the Macroeconomy
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011120369