Affiliation:
1. Department of Economics, University of California, Irvine, and NBER (email: )
Abstract
I estimate the effects of Federal Open Market Committee (FOMC) announcements, post-FOMC press conferences, and speeches and Congressional testimony by the Fed chair on stock prices, Treasury yields, and interest rate futures from 1988 to 2019. I show that for all but the very shortest-maturity interest rate futures, Fed chair speeches are more important than FOMC announcements. My results suggest that the previous literature's focus on FOMC announcements has ignored the most important source of variation in US monetary policy.
Publisher
American Economic Association
Cited by
6 articles.
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