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...

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Bibliographic Details
Main Authors: Melvin, M., Saborowski, C., Sager, M., Taylor, M. P.
Format: Journal Article
Published: 2012
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