MARKET SET-UP IN ADVANCE OF FEDERAL RESERVE POLICY RATE DECISIONS

• 成果类型: Article
• 署名作者: van Dijk, Dick; Lumsdaine, Robin L.; van der Wel, Michel
• 署名单位: American University; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; Tinbergen Institute; National Bureau of Economic Research; CREATES
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/ecoj.12372
• 发表日期: 2016
• 页码: 618-653
• 关键词: central bank communication; time price discovery; funds target rate; monetary-policy; Macroeconomic news; economic-news; bond; STOCK; announcements; returns

摘要

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.