The impact of ECB and FED announcements on the Euro interest rates

► We investigate the impact of the ECB and FED monetary policy announcements in the Euro interest rates. ► We document significant impacts of ECB and FED announcements on interest rates on horizons up to 10 years. ► Over the sub-period 2004:06:30-2006:08:30 the FED news announcements had no impact on the Euro interest rates.