Abstract

Relatively little is known about international monetary-surprises and particularly the impact of surprises arising on the same trading day in financial markets. This paper investigates monetary announcements arising on the same trading day for various UK-related financial securities over the period 1999-2014. We introduce a relevant multi-factor model, which captures domestic and international monetary-surprises, including coinciding monetary announcements made by central banks in the UK, Euro Area and US and estimate it using a moments-based technique. The estimation results provide an indication of the importance of coinciding monetary-surprises relative to non-coinciding monetary surprises and other non-monetary-surprises identified by the model.

Peter Phelps is Lecturer in Applied Economics at the University of Leeds, where he teaches a module in research skills at undergraduate level and a postgraduate module in econometrics. He obtained his PhD from the Land Economy Department at Cambridge University, researching into the stabilisation prospects of the European Economic and Monetary Union (EMU). He has also conducted economics research at Volterra Consulting, the Asian Development Bank’s Office for Regional Economic Integration (OREI) and the International Monetary Fund. His current research focuses on the role of macroeconomic policy in international and regional contexts, including implications of policy coordination and the endogeneity conditions of EMU .