Liquidity and Information Flow around Monetary Policy Announcement
利用日内数据分析了货币政策公告对股票市场流动性的影响，发现流动性受损主要发生在公告后而非公告前，且持续时间约1.5小时，受损程度与公告信息含量成正比。
We analyze the effects of monetary policy announcements on stock market liquidity using intraday data. We show that the impairment in liquidity associated with policy announcements occurs primarily after, rather than before, the announcements, and is relatively short lived, lasting about 1.5 hours. Liquidity impairment varies proportionately with the information content of the policy announcement, with larger effects associated with unscheduled announcements and scheduled announcements with larger policy surprises. Overall, our results suggest that informed traders have an information processing advantage over uninformed participants rather than access to private information.