Market Set‐up in Advance of Federal Reserve Policy Rate Decisions
研究了联邦基金期货市场在美联储公开市场委员会公告前的价格波动变化，发现公告前价格波动减小但交易活跃，市场已提前消化预期信号，且宏观公告和国会证词影响较大，讲话影响较小。
This article considers the extent to which the federal (fed) funds futures market prepares for Federal Open Market Committee (FOMC) announcements. We demonstrate that there is often less variation in fed funds futures prices during the period immediately preceding an FOMC announcement than in earlier periods, despite greater trading activity, as the market has already incorporated anticipated signals. We find that macro announcements and central bank officials' congressional testimony are of comparable importance, whereas speeches are relatively unimportant. In addition, macro announcements have stronger effects when they are released during the Fed's ‘blackout’ period, emphasising important interaction effects.