Is There News in the Prime Rate?
利用日内数据发现，银行宣布调整基准利率对道琼斯股票指数和国债期货收益率有显著影响，且银行在处理通过银企关系和监管获得的私有信息方面具有比较优势。
Using intraday data, we find that bank announcements of changes in the prime rate have significant effects on Dow Jones stock price indexes and yields in the Treasury bill futures market. We find comparable effects using daily data for indexes of share prices of banks and financial firms as well as interest rates on various maturities of government securities. Our evidence is consistent with the view that banks have a comparative advantage in processing private information gained through bank-borrower relations and the regulatory supervision process.