1. Negative Interest Rate Policy and the Influence of Macroeconomic News on Yields. (2019). Yamamoto, Yohei ; Hara, Naoko ; Fatum, Rasmus.
   In: Globalization Institute Working Papers.
   RePEc:fip:feddgw:354.

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2. IMPACT OF MACROECONOMIC SURPRISES ON THEBRAZILIAN YIELD CURVE AND EXPECTED INFLATION. (2014). Moura, Marcelo ; Gaio, Rafael L..
   In: Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting].
   RePEc:anp:en2012:051.

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1. (e) The independent variable FFT-UNEXPECTED measures the unexpected element of the Federal Funds Target rate change on FOMC dates. This variable is taken from Kuttner (2001). (f) The control variables measure the surprise element of US macroeconomic announcements concerning CPI (CPI-UNEXP), Industrial Production (IP-UNEXP), PPI (PPI-UNEXP), Balance of Trade (TRADE-UNEXP) and Unemployment (UNEM-UNEXP).
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2. (e) The independent variable FFT-UNEXPECTED measures the unexpected element of the Federal Funds Target rate change on FOMC dates. This variable is taken from Kuttner (2001). (f) The control variables measure the surprise element of US macroeconomic announcements concerning CPI (CPI-UNEXP), Industrial Production (IP-UNEXP), PPI (PPI-UNEXP), Balance of Trade (TRADE-UNEXP) and Unemployment (UNEM-UNEXP).
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3. (e) The independent variable FFT-UNEXPECTED measures the unexpected element of the Federal Funds Target rate change on FOMC dates. This variable is taken from Kuttner (2001). (f) The control variables measure the surprise element of US macroeconomic announcements concerning CPI (CPI-UNEXP), Industrial Production (IP-UNEXP), PPI (PPI-UNEXP), Balance of Trade (TRADE-UNEXP) and Unemployment (UNEM-UNEXP).
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4. (e) The independent variables FFT-EXPECTED and FFT-UNEXPECTED measure the expected and the unexpected element, respectively, of the Federal Funds Target rate change on FOMC dates. Both variables are taken from Kuttner (2001). The independent variable FFT-ACTUAL is the actual Federal Funds Target rate change on FOMC dates. (f) The control variables measure the surprise element of US macroeconomic announcements concerning CPI (CPI-UNEXP), Industrial Production (IP-UNEXP), PPI (PPI-UNEXP), Balance of Trade (TRADE-UNEXP) and Unemployment (UNEM-UNEXP).
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5. (e) The independent variables FFT-EXPECTED and FFT-UNEXPECTED measure the expected and the unexpected element, respectively, of the Federal Funds Target rate change on FOMC dates. Both variables are taken from Kuttner (2001). The independent variable FFT-ACTUAL is the actual Federal Funds Target rate change on FOMC dates. (f) The control variables measure the surprise element of US macroeconomic announcements concerning CPI (CPI-UNEXP), Industrial Production (IP-UNEXP), PPI (PPI-UNEXP), Balance of Trade (TRADE-UNEXP) and Unemployment (UNEM-UNEXP).
   Paper not yet in RePEc: Add citation now
   
6. (e) The independent variables FFT-EXPECTED and FFT-UNEXPECTED measure the expected and the unexpected element, respectively, of the Federal Funds Target rate change on FOMC dates. Both variables are taken from Kuttner (2001). The independent variable FFT-ACTUAL is the actual Federal Funds Target rate change on FOMC dates. (f) The control variables measure the surprise element of US macroeconomic announcements concerning CPI (CPI-UNEXP), Industrial Production (IP-UNEXP), PPI (PPI-UNEXP), Balance of Trade (TRADE-UNEXP) and Unemployment (UNEM-UNEXP).
   Paper not yet in RePEc: Add citation now
   

7. Andersen, Torben G., Tim Bollerslev, Francis X. Diebold, and Clara Vega. (2003). “Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.” American Economic Review 93, 38-62.

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9. Barro, Robert J. and Zvi Hercowitz. (1980). “Money Stock Revisions and Unanticipated Money Growth.” Journal of Monetary Economics 6, 257-267.
   Paper not yet in RePEc: Add citation now
   

10. Bernanke, Ben S., and Kenneth N. Kuttner. (2005). “What Explains the Stock Market’s Reaction to Federal Reserve Policy?“ Journal of Finance 60, 1221-1258.

11. Bonser-Neal, Catherine, and Glenn Tanner. (1996). Central Bank Intervention and the Volatility of Foreign Exchange Rates: Evidence from the Options Market. Journal of International Money and Finance 15, 853-878.

12. Bonser-Neal, Catherine, V. Vance Roley, and Gordon H. Sellon, Jr. (1998). “Monetary Policy Actions, Intervention, and Exchange Rates: A Reexamination of the Empirical Relationships Using Federal Funds Rate Target Data.” Journal of Business 71, 147-177.

13. Carlson, John B., Jean M. McIntire, and James B. Thomson. (1995). “Federal Funds Futures as an Indicator of Future Monetary Policy: A Primer.” Federal Reserve Bank of Cleveland Economic Review 31, 20-30.

14. Chernenko, Sergey V., Krista B. Schwartz, and Jonathan H. Wright. (2004). “The Information Content of Forward and Futures Prices: Market Expectations and the Price of Risk.” Board of Governors of the Federal Reserve System International Finance Discussion Paper 808.
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15. Craine, Roger, and Vance Martin. (2003). “Monetary Policy Shocks and Security Market Responses.” University of California, Berkeley, manuscript.
    Paper not yet in RePEc: Add citation now
    
16. Data Sources: Federal Funds Target Rate Data: From Kuttner (2001). Exchange Rate Data: Board of Governors of the Federal Reserve (Noon Eastern Time). Bundesbank, Bank of England and Bank of Japan Data: From official central bank sources. U.S. Macroeconomic Surprise Data: From Money Market Services and Bloomberg (the surprise is measures as the difference between actual announcement and median survey value).
    Paper not yet in RePEc: Add citation now
    

17. Eichenbaum, Martin, and Charles L. Evans. (1995). “Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates.” Quarterly Journal of Economics 110, 975-1009.

18. Engel, Charles, and Kenneth D. West. (2005). “Exchange Rates and Fundamentals.” Journal of Political Economy 113, 485-517.
    Paper not yet in RePEc: Add citation now
    

19. Evans, Martin D.D. and Richard K. Lyons. (2005). “Do Currency Markets Absorb News Quickly?” Journal of International Money and Finance 24, 197-217.

20. Fatum, Rasmus, and Barry Scholnick. (2003). “Do Exchange Rates Respond to Day-to-Day Changes in Monetary Policy Expectations When No Monetary Policy Changes Occur?” SCCIE Working Paper No. 03-8 and forthcoming in the Journal of Money, Credit and Banking.
    Paper not yet in RePEc: Add citation now
    
21. Faust, Jon and John H. Rogers. (2003). “Monetary Policy’s Role in Exchange Rate Behavior.” Journal of Monetary Economics 50, 1403-1424.
    Paper not yet in RePEc: Add citation now
    

22. Faust, Jon, John H. Rogers, Eric Swanson, and Jonathan H. Wright. (2003). “Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data.” Journal of the European Economic Association 1, 1031-1057.

23. Flannery, Mark J., and Aris A. Protopapadakis. (2002). “Macroeconomic Factors Do Influence Aggregate Stock Returns.” Review of Financial Studies 15, 751-782.

24. Galati, Gabriele, William Melick, and Marian Micu (2005). “Foreign Exchange Market Intervention and Expectations: An Empirical Study of the Dollar/Yen Exchange Rate.” Journal of International Money and Finance 24, 982-1011.
    Paper not yet in RePEc: Add citation now
    

25. Hausman, Jerry A. (1978). “Specification Tests in Econometrics. Econometrica 46, 1251-1271.

26. Hausman, Jerry A. (1983). “Specification and Estimation of Simultaneous Equation Models.” In Handbook of Econometrics Vol. I, edited by Zvi Griliches and Michael D. Intriligator. Amsterdam: North Holland.
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27. Kim, Soyoung, and Nouriel Roubini. (2000). “Exchange Rate Anomalies in the Industrial Countries: A Solution with a Structural VAR Approach.” Journal of Monetary Economics 45, 561-586.

28. Krueger, Joel T., and Kenneth N. Kuttner. (1996). “The Federal Funds Futures Rate as a Predictor of Federal Reserve Policy.” Journal of Futures Markets 16, 865-879.

29. Kuttner, Kenneth N. (2001). “Monetary Policy Surprises and Interest Rates: Evidence from the Fed Funds Futures Market.” Journal of Monetary Economics 47, 523-544.

30. Lewis, Karen K. (1995). “Are Foreign Exchange Intervention and Monetary Policy Related, and Does It Really Matter?” Journal of Business 68, 185-214.

31. Mishkin, Frederic S. (1982). “Does Anticipated Monetary Policy Matter? An Econometric Investigation.” Journal of Political Economy 90, 22-51.
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32. Newey, Whitney K., and Kenneth .D. West. (1987). “A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix.” Econometrica 55, 703-708.

33. Piazzesi, Monika, and Eric T. Swanson. (2004). “Futures Prices as Risk-Adjusted Forecasts of Monetary Policy.” NBER Working Paper 10547.

34. Sack, Brian P. (2002). “Extracting the Expected Path of Monetary Policy from Futures Rates.” Journal of Futures Markets 34, 733-754.
    Paper not yet in RePEc: Add citation now
    

35. Sack, Brian P., Eric T. Swanson, and Refet S. Gurkaynak. (2002). “Market-based Measures of Monetary Policy Expectations.” Board of Governors of the Federal Reserve System FEDS Working Paper 2002-40.

36. Simpson, Marc W.; Sanjay Ramchander and Mukesh Chaudry (2005). “The Impact of Macroeconomic Surprises on Spot and Forward Foreign Exchange Markets.” Journal of International Money and Finance 24, 693-718.
    Paper not yet in RePEc: Add citation now
    
37. TABLE 3 DEM/USD: Summary of Same-Day and Delayed Exchange Rate Responses to the Unexpected Change in The Federal Funds Target Rate Daily Data: 27 March 1989 to 31 December 1998 Each row below is associated with a separate regression model. Only the point estimate and the associated standard error for the independent variable FFT-UNEXPECTED are shown, regardless of whether or not the control variables are significant.
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38. TABLE 5 JPY/USD: Summary of Same-Day and Delayed Exchange Rate Responses to the Unexpected Change in The Federal Funds Target Rate Daily Data: 27 March 1989 to 4 April 2001 Each row below is associated with a separate regression model. Only the point estimate and the associated standard error for the independent variable FFT-UNEXPECTED are shown, regardless of whether or not the control variables are significant.
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39. TABLE 7 GBP/USD: Summary of Same-Day and Delayed Exchange Rate Responses to the Unexpected Change in The Federal Funds Target Rate Daily Data: 27 March 1989 to 4 April 2001 Each row below is associated with a separate regression model. Only the point estimate and the associated standard error for the independent variable FFT-UNEXPECTED are shown, regardless of whether or not the control variables are significant.
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1. Proxy-identification of a structural MGARCH model for asset returns. (2024). Polivka, Jeannine ; Fengler, Matthias.
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2. Policy and Macro Signals as Inputs to Inflation Expectation Formation. (2016). Hubert, Paul ; Maule, Becky.
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3. Impact of macro-economic surprises on carry trade activity. (2013). Sushko, Vladyslav ; Hutchison, Michael.
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4. Oil Prices, Exchange Rates and Asset Prices. (2013). Van Robays, Ine ; Fratzscher, Marcel ; Schneider, Daniel.
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5. Oil Prices, Exchange Rates and Asset Prices. (2013). Van Robays, Ine ; Fratzscher, Marcel ; Schneider, Daniel.
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6. Price and trading response to public information. (2010). Malinowska, Magdalena.
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7. Intraday volatility responses to monetary policy events. (2009). Lunde, Asger ; Zebedee, Allan .
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8. The Effects of Economic News on Commodity Prices: Is Gold Just Another Commodity?. (2009). Roache, Shaun K ; Rossi, Marco.
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9. Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility. (2008). Bos, Charles.
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10. Exchange Rates and Fundamentals: Footloose or Evolving Relationship?. (2008). Valente, Giorgio ; Sarno, Lucio.
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11. Anchoring bias in consensus forecasts and its effect on market prices. (2007). Sharpe, Steven ; Campbell, Sean D..
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12. The Impact of Macroeconomic News on Exchange Rate Volatility. (2007). Laakkonen, Helinä.
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13. The transmission of emerging market shocks to global equity markets. (2007). Thimann, Christian ; Fratzscher, Marcel ; Cuadro Sáez, Lucía ; Saez, Lucia Cuadro.
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14. Stock market interactions and the impact of macroeconomic news: Evidence from high frequency data of European futures markets. (2006). Kräussl, Roman ; Kraussl, Roman ; Canto, Bea.
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15. Intra-Day Seasonality in Activities of the Foreign Exchange Markets: Evidence From the Electronic Broking System. (2006). Ito, Takatoshi ; Hashimoto, Yuko.
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16. Resolving Macroeconomic Uncertainty in Stock and Bond Markets. (2006). Beber, Alessandro ; Brandt, Michael W..
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17. Expectations and Exchange Rate Policy. (2006). Engel, Charles ; Devereux, Michael.
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18. Idiosyncratic volatility, economic fundamentals, and foreign exchange rates. (2006). Guo, Hui.
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19. Global asset prices and FOMC announcements. (2006). Wongswan, Jon ; Hausman, Joshua.
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20. Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data. (2006). Wright, Jonathan ; Berger, David ; Chernenko, Sergey V. ; Iyer, Raj S. ; Howorka, Edward ; Liu, David ; CHABOUD, ALAIN P..
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21. Does inflation targeting anchor long-run inflation expectations? evidence from long-term bond yields in the U.S., U.K., and Sweden. (2006). Swanson, Eric ; Levin, Andrew ; Gürkaynak, Refet.
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22. Which news moves the euro area bond market?. (2006). Sebestyén, Szabolcs ; Sebestyen, Szabolcs ; Andersson, Magnus ; Hansen, Lars Jul .
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23. Expectations and Exchange Rate Policy. (2006). Engel, Charles ; Devereux, Michael.
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24. Shock Identification of Macroeconomic Forecasts based on Daily Panels. (2005). Fischer, Andreas ; Amstad, Marlene.
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25. What Defines News in Foreign Exchange Markets?. (2005). Dominguez, Kathryn ; Panthaki, Freyan .
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26. Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission. (2005). Rigobon, Roberto ; Fratzscher, Marcel ; Ehrmann, Michael.
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27. Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting. (2005). Lyons, Richard ; Evans, Martin.
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28. Do Currency Markets Absorb News Quickly?. (2005). Lyons, Richard ; Evans, Martin.
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29. Establishing Credibility: Evolving Perceptions of the European Central Bank. (2005). Klein, Michael ; Goldberg, Linda.
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31. Establishing credibility: evolving perceptions of the European Central Bank. (2005). Klein, Michael ; Goldberg, Linda.
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32. Shock identification of macroeconomic forecasts based on daily panels. (2005). Fischer, Andreas ; Amstad, Marlene.
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33. The response of global equity indexes to U.S. monetary policy announcements. (2005). Wongswan, Jon.
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34. Stocks, bonds, money markets and exchange rates: measuring international financial transmission. (2005). Rigobon, Roberto ; Fratzscher, Marcel ; Ehrmann, Michael.
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35. Were Verbal Efforts to Support the Euro Effective? A High-Frequency Analysis of ECB Statements. (2005). .
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36. Have markets reacted differently to macroeconomic and monetary policy news since 1997? An empirical analysis of UK intraday trades and prices.. (2004). wetherilt, anne ; Burrows, Oliver .
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37. The Consequences of ‘In-Work’ Benefit Reform in Britain: New Evidence from Panel Data. (2004). van der Klaauw, Wilbert ; Francesconi, Marco.
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39. The high-frequency effects of U.S. macroeconomic data releases on prices and trading activity in the global interdealer foreign exchange market. (2004). Wright, Jonathan ; Chernenko, Sergey ; Raj S. Krishnasami Iyer, ; Howorka, Edward ; Liu, David ; CHABOUD, ALAIN P..
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40. Equal size, equal role? interest rate interdependence between the euro area and the United States. (2004). Fratzscher, Marcel ; Ehrmann, Michael.
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41. The consequences of ‘in-work’ benefit reform in Britain: new evidence from panel data. (2004). van der Klaauw, Wilbert ; Francesconi, Marco.
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42. Asset Prices and Exchange Rates. (2004). Rigobon, Roberto ; Pavlova, Anna.
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43. Exchange rates and fundamentals: new evidence from real-time data. (2004). Fratzscher, Marcel ; Ehrmann, Michael.
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46. Equal size, equal role? Interdependence between the euro area and the United States. (2004). Fratzscher, Marcel ; Ehrmann, Michael.
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47. Econometrics of testing for jumps in financial economics using bipower variation. (2003). Shephard, Neil.
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49. What moves sovereign bond markets? The effects of economic news on U.S. and German yields. (2003). Goldberg, Linda ; Leonard, Deborah.
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50. The high-frequency response of exchange rates and interest rates to macroeconomic announcements. (2003). Wright, Jonathan ; Wang, Shing-Yi ; Rogers, John ; Faust, Jon.
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