The University of Southampton
University of Southampton Institutional Repository

On the "Hirshleifer effect'' of unscheduled monetary policy announcements.

Banerjee, Anurag N. and Seccia, Giulio (2002) On the "Hirshleifer effect'' of unscheduled monetary policy announcements. , Southampton, UK University of Southampton 13pp. (Discussion Papers in Economics and Econometrics, 213).

Record type: Monograph (Discussion Paper)

Abstract

When monetary policy announcements are expected to occur at scheduled dates, the event of an unscheduled announcement often "surprises" financial markets. However, if the information provider knows the future policy beforehand, he might be induced to anticipate the release of information without waiting for the next scheduled date, on the assumption that better informed traders will be able to attain superior equilibria. On October 15,.1998, January 3 and April 18, 2001 the chairman of U.S. Fed announced a half point interest rate cut well before the next scheduled meeting. The real surprise for the markets was the timing, not the content, of the announcement. In this paper we look at the volume of trade in interest rate futures before these three dates and compare it to the volume of trade before scheduled meetings. We argue that the wrong timing of policy announcements might involve an "Hirshleifer effect" and prevent a significant volumes of securities to transact for hedging purposes.

PDF 0213.pdf - Other
Download (407kB)

More information

Published date: 2002

Identifiers

Local EPrints ID: 33396
URI: http://eprints.soton.ac.uk/id/eprint/33396
PURE UUID: 76f186f9-30a7-40f1-82aa-bf3b43951339

Catalogue record

Date deposited: 18 May 2006
Last modified: 17 Jul 2017 15:52

Export record

Contributors

Author: Anurag N. Banerjee
Author: Giulio Seccia

University divisions

Download statistics

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics

Atom RSS 1.0 RSS 2.0

Contact ePrints Soton: eprints@soton.ac.uk

ePrints Soton supports OAI 2.0 with a base URL of http://eprints.soton.ac.uk/cgi/oai2

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.

×