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Monetary policy's role in exchange rate behavior

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Identifying VARS based on high frequency futures data

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The high-frequency impact of news on long-term yields and forward rates: Is it real?

Beechey, Meredith J.; Wright, Jonathan H. - In: Journal of Monetary Economics 56 (2009) 4, pp. 535-544

Macroeconomic news announcements move yields and forward rates on nominal and index-linked bonds and inflation compensation. This paper estimates the reactions using high-frequency data on nominal and index-linked bond yields, allowing the effects of news announcements on real rates and...

Persistent link: https://www.econbiz.de/10005006151