| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w19814 |
| 来源ID | Working Paper 19814 |
| Market Set-Up in Advance of Federal Reserve Policy Decisions | |
| Dick van Dijk; Robin L. Lumsdaine; Michel van der Wel | |
| 发表日期 | 2014-01-16 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | This paper considers the uncertainty associated with upcoming Federal Open Market Committee (FOMC) announcements and the extent to which the market begins to set up for such announcements well before they actually occur. We demonstrate that markets set up well in advance of known announcement days; as a result, there is often less uncertainty in the period immediately preceding an FOMC announcement, despite greater volume of activity, as the market has already incorporated anticipated signals. We consider the relative importance of both macro announcements and central bank officials' speeches and congressional testimony in shaping market expectations. We find substantial evidence of anticipatory effects; these results are particularly relevant as the Fed develops its communication strategy to achieve an orderly exit from its program of quantitative easing. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Monetary Policy ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w19814 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/577488 |
| 推荐引用方式 GB/T 7714 | Dick van Dijk,Robin L. Lumsdaine,Michel van der Wel. Market Set-Up in Advance of Federal Reserve Policy Decisions. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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