The TMPG fails charge for U.S. Treasury securities provides that a buyer of Treasury securities can claim monetary compensation from the seller if the seller fails to deliver the securities on a timely basis. The charge was introduced in May 2009 and replaced an existing market convention of...

This article looks at disagreement within the Federal Reserve's monetary policy committee, the Federal Open Market Committee or FOMC, following a change in transparency practices taken in 1993 to publish verbatim transcripts of FOMC meetings. Other literature has examined the effects of opening...

This paper analyses different operational central bank policies and their impact on the behaviour of the money market interest rate. The model combines profit maximising behaviour by commercial banks with the central bank supplying the liquidity that keeps the market rate on target. It seems...

We show that option-implied tail risk plays an important role in understanding the risk premium around FOMC announcement days. We construct abnormal option-implied moments before each pre-scheduled FOMC meeting. While volatility predicts pre-FOMC drift and the announcement day market returns,...

After World War II and prior to the financial deregulation of the 1980s, monetary policy in Sweden as well as in other western European countries rested chiefly on a system of far-reaching non-market-oriented controls of credit flows and interest rates. How was monetary policy conducted in such...

This paper studies the credibility and transparency of monetary policy. We characterize each FOMC meeting as a decision to ease, maintain, or tighten monetary policy and model decisions with ordered probit reaction functions. Policy is credible if the estimated models are significant functions...

We show that the pre-FOMC announcement drift is more pronounced among lottery-like stocks and does not reverse in the days following the announcement. The pre-FOMC demand for lottery-like stocks is more prominent among institutional investors than retail investors. The associated pre-FOMC drift...