This paper analyzes the impact of changes in monetary policy on equity prices, with the
objectives of both measuring the average reaction of the stock market and understanding …

The joint movements of exchange rates and US and foreign term structures over short-time
windows around macro announcements are studied using a 14-year span of high-frequency …

The paper assesses the communication strategies of the Federal Reserve, the Bank of
England, and the European Central Bank and their effectiveness. We find that the …

Monetary policy communication is particularly important during unconventional times,
because high uncertainty about the economy, the introduction of new policy tools and …

We present a new automated, objective and intuitive scoring technique to measure the
content of central bank communication about future interest rate decisions based on …

This paper is a statistical analysis of the manner in which the Federal Reserve determines
the level of the federal funds rate target, one of the most publicized and anticipated …

The financial crisis has deeply affected money markets and thus, potentially, the proper
functioning of the interest rate channel of monetary policy transmission. Therefore, we …

This paper explores whether there are systematic patterns as to when members of the
decision-making committees of the Federal Reserve, the Bank of England and the European …

This paper extends the framework of and Porter (1983 a) to encompass the case of a cartel
(OPEC) faced by a competitive fringe (non-OPEC oil producers). Estimation of a …

Abstract Analysis of high-frequency data shows that Treasury note yields are highly volatile
around FOMC announcements, even though the average effects of fed funds target rate …