Scheduled Announcements and Volatility Patterns: The Effects of Monetary Policy Committee Announcements on LIBOR and Short Sterling Futures and Options.

Both the UK spot and futures markets in short term interest rates are found to react strongly to surprises in the scheduled announcements of the repo rate and RPI. Therefore these announcements should also affect the market for options on short term interest rates. Because the repo rate and RPI announcements are scheduled, the options market can predict the days on which announcement shocks may hit, and build this information into its volatility expectations.

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Year of publication:	2001
Authors:	Sun, P. ; Sutcliffe, C.
Institutions:	Economics Division, University of Southampton
Subject:	MONETARY POLICY \| INTEREST RATE \| MARKET

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Series:	University of Southampton - Department of Accounting and Management Science.
Type of publication:	Book / Working Paper
Notes:	26 pages
Classification:	G14 - Information and Market Efficiency; Event Studies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005640654