Does the Federal Open Market Committee cycle affect credit risk?
研究发现信用违约互换指数在联邦公开市场委员会周期的偶数周回报显著更高，该双周模式与美联储内部会议解决宏观经济不确定性有关，基于此策略可获得年化8.8%的超额收益。
Abstract This paper studies the returns of credit default swap (CDS) indices over the Federal Open Market Committee (FOMC) cycle. We document that the CDS return is significantly higher in even weeks than in odd weeks of the FOMC cycle. The biweekly pattern in the CDS market is not a mere reflection of that in the stock market. A simple trading strategy based on the biweekly pattern yields an annual excess return of 8.8%. This pattern is linked to the resolution of macroeconomic uncertainty by the biweekly schedules of the Fed Reserve internal Board of Governors meetings. We provide further evidence that the Fed affects the CDS market via unexpected information signals and monetary policies that lead to reductions in the risk premium.