We document that since 1994, the equity premium is earned entirely in weeks 0, 2, 4, and 6
in Federal Open Market Committee (FOMC) cycle time, that is, even weeks starting from the …

This paper introduces a real-time, continuous measure of national sentiment that is
language-free and thus comparable globally: the positivity of songs that individuals choose …

This paper develops a revealed preference theory for the equity premium around
macroeconomic announcements. Stock returns realized around pre‐scheduled …

Since the mid-1990s, negative stock returns comove with downgrades to the Fed's growth
expectations and predict policy accommodations. Textual analysis of FOMC documents …

We show significant US monetary policy (MP) spillovers to international bond markets. Our
methodology identifies US MP shocks as the change in short-term Treasury yields around …

We document that a trading strategy that is short the US dollar and long other currencies
exhibits significantly larger excess returns on days with scheduled Federal Open Market …

This paper studies the transmission of US monetary shocks across the globe by employing a
high-frequency identification of policy shocks and large VAR techniques, in conjunction with …

This study investigates the sovereign yield curve network of 12 developed countries. We
decompose the term structure of interest rates into the Level, Slope, and Curvature factors …

News about the economy contained in a central bank announcement can affect public
expectations. This paper shows, using both event studies and vector autoregressions, that …

We find large overnight returns with no abnormal variance before nonfarm payrolls, ISM, and
GDP announcements, similar to the pre-FOMC returns. To explain this common pattern, we …