The Impact of News on Financial Markets in the United Kingdom: Note
研究英国货币供应量公告对四种金融价格的影响，发现英国公告的影响在次日才完全显现，与美国公告的即时效应不同。
A number of papers (see, e.g., Cornell (1983) and the references contained therein) have appeared in the United States recently that examine the impact of money supply announcements on financial asset prices. Using the framework of the efficient markets hypothesis, these studies indicate that, for the United States, unanticipated increases in M1 push interest rates and the exchange rate upward and place downward pressure on stock exchange prices. A feature common to all these papers is that they utilize expectations data which are derived from surveying market participants rather than from a model (such as an ARIMA model). In an earlier paper (Smith and Goodhart 1985) we set out to compare the reaction of market prices to announcements made both in the United States and in the United Kingdom. Using the dollar/sterling exchange rate a price which by definition is common to both countries we found the impact of money announcements, M1 in the United States and £M3 in the United Kingdom, to be remarkably similar in magnitude. However, when we considered the time taken for the effect to be observed, the results differed considerably. Whereas the U. S . announcement appeared to affect the exchange rate immediately, the impact from the U.K. announcement was not felt fully until the following working day. The aim of this paper is to build on these earlier results for the United Kingdom. This is done by considering four different financial prices along with four different announcements, to ascertain the extent to which each market reacts to each announcement. Because we are interested not only in the magnitude of any announcement effects but also in the time taken for these effects to be fully realized, the equations are estimated with the changes in the various financial prices measured over a number of alternative intervals.