WP302_FOMCdata_2
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Abstract
We collect intraday data on days with scheduled (# 112) and unscheduled (# 2) FOMC announcements between 2006 and 2019, for which detailed data on prices (and fund flows) are available.9 We then measure the change of the seven variables within an event window of 90 minutes (-15m:+75m) around FOMC announcements. Since 2011, the Fed frequently holds a press conference about one up to two hours after the actual announcement. In these cases (36), we extend the event window to the closing price (16:15) of the announcement day
Research Area
Financial Markets
Keywords
monetary policy surprises, equity premium, fund flows, portfolio rebalanc- ing, price pressures
JEL Classification
G10, G12, E44
Working Paper References
Topic
Consumption
Financial Markets
Saving and Borrowing
Financial Markets
Saving and Borrowing
Publication Type
Research Data
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- External Research Data [777]
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