Market Set-up in Advance of Federal Reserve Policy Rate Decisions

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Market Set-up in Advance of Federal Reserve Policy Rate Decisions. / van Dijk, Dick; Lumsdaine, Robin L.; van der Wel, Michel.

I: The Economic Journal, Bind 126, Nr. 592, 01.05.2016, s. 618-653.

Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avis › Tidsskriftartikel › Forskning › peer review

Author

van Dijk, Dick ; Lumsdaine, Robin L. ; van der Wel, Michel. / Market Set-up in Advance of Federal Reserve Policy Rate Decisions. I: The Economic Journal. 2016 ; Bind 126, Nr. 592. s. 618-653.

Bibtex

@article{057a9f89302f425286467ad63046a5f2,

title = "Market Set-up in Advance of Federal Reserve Policy Rate Decisions",

abstract = "This article considers the extent to which the federal (fed) funds futures market prepares for Federal Open Market Committee (FOMC) announcements. We demonstrate that there is often less variation in fed funds futures prices during the period immediately preceding an FOMC announcement than in earlier periods, despite greater trading activity, as the market has already incorporated anticipated signals. We find that macro announcements and central bank officials' congressional testimony are of comparable importance, whereas speeches are relatively unimportant. In addition, macro announcements have stronger effects when they are released during the Fed's {\textquoteleft}blackout{\textquoteright} period, emphasising important interaction effects.",

author = "{van Dijk}, Dick and Lumsdaine, {Robin L.} and {van der Wel}, Michel",

year = "2016",

month = may,

day = "1",

doi = "10.1111/ecoj.12372",

language = "English",

volume = "126",

pages = "618--653",

journal = "Economic Journal",

issn = "0013-0133",

publisher = "Wiley",

number = "592",

}

RIS

TY - JOUR

T1 - Market Set-up in Advance of Federal Reserve Policy Rate Decisions

AU - van Dijk, Dick

AU - Lumsdaine, Robin L.

AU - van der Wel, Michel

PY - 2016/5/1

Y1 - 2016/5/1

N2 - This article considers the extent to which the federal (fed) funds futures market prepares for Federal Open Market Committee (FOMC) announcements. We demonstrate that there is often less variation in fed funds futures prices during the period immediately preceding an FOMC announcement than in earlier periods, despite greater trading activity, as the market has already incorporated anticipated signals. We find that macro announcements and central bank officials' congressional testimony are of comparable importance, whereas speeches are relatively unimportant. In addition, macro announcements have stronger effects when they are released during the Fed's ‘blackout’ period, emphasising important interaction effects.

AB - This article considers the extent to which the federal (fed) funds futures market prepares for Federal Open Market Committee (FOMC) announcements. We demonstrate that there is often less variation in fed funds futures prices during the period immediately preceding an FOMC announcement than in earlier periods, despite greater trading activity, as the market has already incorporated anticipated signals. We find that macro announcements and central bank officials' congressional testimony are of comparable importance, whereas speeches are relatively unimportant. In addition, macro announcements have stronger effects when they are released during the Fed's ‘blackout’ period, emphasising important interaction effects.

UR - http://www.scopus.com/inward/record.url?scp=84978160799&partnerID=8YFLogxK

U2 - 10.1111/ecoj.12372

DO - 10.1111/ecoj.12372

M3 - Journal article

AN - SCOPUS:84978160799

VL - 126

SP - 618

EP - 653

JO - Economic Journal

JF - Economic Journal

SN - 0013-0133

IS - 592

ER -