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The Announcement Effect: Evidence from Open Market Desk Data
13 references·8 citing·41 second hop
The Announcement Effect: Evidence from Open Market Desk Data (2001)The Announcement Effect: Evidence from Op…Monetary Policy Surprises and Interest Rates: Evidence from the Fed Funds Futures Markets (2006)Monetary Policy Surprises and…Monetary policy surprises and interest rates: Evidence from the Fed funds futures market (2001)Monetary policy surprises and…Expectations, Open Market Operations, and Changes in the Federal Funds Rate (2001)Expectations, Open Market Ope…Open mouth operations (2000)Open mouth operationsMonetary Policy in a World Without Money (2000)Monetary Policy in a World Wi…Monetary Policy in a World Without Money (2000)Monetary Policy in a World Wi…Interbank payments and the daily federal funds rate (2000)Interbank payments and the da…Open Market Operations in the 1990s (1997)Open Market Operations in the…Measuring the Liquidity Effect (1996)Measuring the Liquidity EffectFederal Reserve interest rate targeting, rational expectations, and the term structure (1995)Federal Reserve interest rate…Estimating the Open Market Desk's Daily Reaction Function (1993)Estimating the Open Market De…Operating Procedures for Conducting Monetary Policy (1985)Operating Procedures for Cond…Limited-dependent and qualitative variables in econometrics (1983)Limited-dependent and qualita…Modern Central Bank Operations – The General Principles (2010)Modern Central Bank Operation…Implementation of Monetary Policy (2010)Implementation of Monetary Po…Monetary policy implementation and the federal funds rate (2009)Monetary policy implementatio…Effects of Central Bank Intervention on the Interbank Market during the Sub-Prime Crisis (2009)Effects of Central Bank Inter…Declining required reserves, funds rate volatility, and open market operations (2004)Declining required reserves, …Monetary Policy in the Information Economy (2003)Monetary Policy in the Inform…Measuring the Liquidity Effect: The Case of Japan (2002)Measuring the Liquidity Effec…Central bank transparency and market efficiency: An econometric analysis (2002)Central bank transparency and…Federal Reserve interest rate targeting, rational expectations, and the term structure (1995)The Daily Market for Federal Funds (1996)Systematic Monetary Policy and the Effects of Oil Price Shocks (1997)The Response of Term Rates to Fed Announcements (2004)The making of US monetary policy: Central bank transparency and the neoliberal dilemma (2007)A Black Swan in the Money Market (2008)Monetary Policy and Open Market Operations during 1994 (1994)When Did the FOMC Begin Targeting the Federal Funds Rate? What the Verbatim Transcripts Tell Us (2006)Implementation of Monetary Policy: How Do Central Banks Set Interest Rates? (2010)The Information in Long-Maturity Forward Rates (1987)The federal funds rate and the channels of monetary transmission (1989)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Macroeconomic news and bond market volatility1We thank Walter Toshi Baily, Bob Korajczyk, Jim Poterba, Mark Watson, seminar participants at the University of Chicago, Columbia University, Cornell University, and the University of Montreal, and especially Ludger Hentschel (the referee) for helpful comments. We also thank Mark Mitchell for supplying data, and Amy C. Ko and Sydney Ludvigson for research assistance. Lamont was supported by the FMC Faculty Research Fund at the Graduate School of Business, University of Chicago. A portion of this research was completed while Lumsdaine was a National Fellow at the Hoover Institution. We also thank the Financial Research Center at Princeton University for support. A previous version of this paper circulated as `Public Information and the Persistence of Bond Market Volatility'.1 (1998)Trend Inflation, Taylor Principle, and Indeterminacy (2009)Capital regulation and monetary policy with fragile banks (2013)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Price level determinacy with an interest rate policy rule and rational expectations (1981)LIQUIDITY AND ANNOUNCEMENT EFFECTS IN THE EURO AREA (2002)The Optimality of (S,s) Policies in the Dynamic Inventory Problem (2005)Central Bank Communication and Monetary Policy: A Survey of Theory and Evidence (2008)Stock Returns Over the FOMC Cycle (2015)The effect of changes in the federal funds rate target on market interest rates in the 1970s (1989)Do Measures of Monetary Policy in a VAR Make Sense (1998)Pre-announcement effects, news effects, and volatility: Monetary policy and the stock market (2002)Taking Stock: Monetary Policy Transmission to Equity Markets (2004)Investor sentiment and the stock market’s reaction to monetary policy (2009)A Program for Monetary Stability (1961)Challenges for monetary policy : new and old (1999)The Great Recession: Lessons for Macroeconomic Policy from Japan (2001)UNCONVENTIONAL MONETARY POLICIES: AN APPRAISAL (2010)Monetary Policy Implementation: Misconceptions and Their Consequences (2008)A Skeptical View of the Impact of the Fed’s Balance Sheet (2018)Econometric Analysis of Cross Section and Panel Data (2001)Does Foreign Direct Investment Increase the Productivity of Domestic Firms? 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References

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  • 2001Monetary policy surprises and interest rates: Evidence from the Fed funds futures market2,054 cited
  • 2006Monetary Policy Surprises and Interest Rates: Evidence from the Fed Funds Futures Markets414 cited
  • 1995Federal Reserve interest rate targeting, rational expectations, and the term structure356 cited
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  • 1996Measuring the Liquidity Effect121 cited
  • 2001Expectations, Open Market Operations, and Changes in the Federal Funds Rate102 cited
  • 1993Estimating the Open Market Desk's Daily Reaction Function94 cited
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  • 2009Effects of Central Bank Intervention on the Interbank Market during the Sub-Prime Crisis52 cited
  • 2004Declining required reserves, funds rate volatility, and open market operations

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43 cited
  • 2009Monetary policy implementation and the federal funds rate41 cited
  • 2002Central bank transparency and market efficiency: An econometric analysis34 cited
  • 2010Implementation of Monetary Policy32 cited
  • 2010Modern Central Bank Operations – The General Principles26 cited
  • 2003Monetary Policy in the Information Economy21 cited
  • 2002Measuring the Liquidity Effect: The Case of Japan18 cited