Zur Kurzanzeige

dc.date.accessioned2021-09-24T14:47:01Z
dc.date.available2021-09-24T14:47:01Z
dc.identifier.urihttps://fif.hebis.de/xmlui/handle/123456789/2075
dc.description.abstractWe 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
dc.rightsAttribution-ShareAlike 4.0 International
dc.rights.urihttp://creativecommons.org/licenses/by-sa/4.0/
dc.subjectFinancial Markets
dc.titleWP302_FOMCdata_2
dc.typeResearch Data
dcterms.isReferencedByhttps://fif.hebis.de/xmlui/handle/123456789/2408?The FOMC Risk Shift
dc.subject.keywordsmonetary policy surprises
dc.subject.keywordsequity premium
dc.subject.keywordsfund flows
dc.subject.keywordsportfolio rebalanc- ing
dc.subject.keywordsprice pressures
dc.subject.jelG10
dc.subject.jelG12
dc.subject.jelE44
dc.subject.topic1bollerslev
dc.subject.topic1policy
dc.subject.topic1importantly
dc.subject.topic2asset
dc.subject.topic2indicative
dc.subject.topic2spread
dc.subject.topic3risk
dc.subject.topic3exposure
dc.subject.topic3light
dc.subject.topic1nameConsumption
dc.subject.topic2nameFinancial Markets
dc.subject.topic3nameSaving and Borrowing
dc.identifier.urlhttp://dx.doi.org/10.2139/ssrn.3774275


Dateien zu dieser Ressource

DateienGrößeFormatAnzeige

Zu diesem Dokument gibt es keine Dateien.

Das Dokument erscheint in:

Zur Kurzanzeige

Attribution-ShareAlike 4.0 International
Solange nicht anders angezeigt, wird die Lizenz wie folgt beschrieben: Attribution-ShareAlike 4.0 International