Melvin, Michael; Saborowski, Christian; Sager, Michael; … - In: International Journal of Central Banking 6 (2010) 3, pp. 211-247
Since 1997, the Bank of England Monetary Policy Committee (MPC) has met monthly to set the UK policy interest rate. Using a Markov-switching framework that incorporates endogenous transition probabilities, we examine intraday, five-minute return data for evidence of systematic patterns in...