NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Michel van der Wel

Econometric Institute
Erasmus University Rotterdam
P.O. Box 1738
3000 DR Rotterdam
The Netherlands

E-Mail: vanderwel@ese.eur.nl

NBER Working Papers and Publications

January 2014Market Set-Up in Advance of Federal Reserve Policy Decisions
with Dick van Dijk, Robin L. Lumsdaine: w19814
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 strateg...

Published: Market Set-up in Advance of Federal Reserve Policy Rate Decisions Authors Dick van Dijk, Robin L. Lumsdaine, Michel van der Wel Economic Journal Volume 126, Issue 592 May 2016 Pages 618–653

 
Publications
Activities
Meetings
NBER Videos
Themes
Data
People
About

National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us