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This paper investigates the reactions of markets to the monetary policy decisions of their own central bank and to the decisions of the central banks of other countries. In particular, using daily interest rates to estimate the impact of the monetary policy announcements of a central bank, we analyse the e¤ect of the FED, ECB, and BoE monetary policy announcements on their own markets, and on the others. Surprisingly, we …nd that while the US rates respond only to FED announcements, and the British rates respond mainly to BoE announcements and marginally to FED announcements, the response of Euro bond rates to the FED announcements is stronger than their response to ECB announcements. JEL classi…cation: E43, E52, F42