CO-MOVEMENTS OF REGIME SHIFTS IN GBP CURRENCY PAIRS AROUND BOE QUANTITATIVE EASING ANNOUNCEMENTS

Abstract

In the current post-crisis era, the events with the highest probability to move the financial markets are the announcements of financial authorities concerning the quantitative easing decisions. The objective of this paper is to build an analysis of the existence of connections among the GBP currency pairs in terms of regime switching that could be related to the moments when the Bank of England generated announcements about its monetary decisions.

Keywords

• quantitative easing
• regime shifts
• foreign exchange markets