This note examines minute-by-minute reactions of the US interest rate and stock markets to the first Federal Open Market Committee press conference on monetary policy. Volatility and volume effects during the press conference are shown to be less pronounced but more lasting than those observed...

This paper uses data on German government bond futures options to examine the behaviour of market expectations around monetary policy actions of the European Central Bank (ECB). In particular, this paper focuses on the asymmetries in bond market expectations, as measured by the skewness of...

This paper examines how the Fed's monetary policy decisions affect the implied volatility of the S&P 500 index. The results show that stock market uncertainty is significantly affected by the Fed's policy decisions. In particular, we find that implied volatility generally decreases after FOMC...