Bank of England Interest Rate Announcements and the Foreign Exchange Market
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 exchange r...
| Main Authors: | , , , |
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| Format: | Journal Article |
| Language: | EN |
| Published: |
2012
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| Online Access: | http://hdl.handle.net/10986/5293 |