مطالعه اثرات درباره معاملات بازار آتی نرخ بهره

Any announcement from the Federal Reserve has a huge impact on the interest rate markets. The press releases from the Federal Open Market Committee (FOMC) are major inputs to the market and the random intervention model is applied to interest rate futures transaction data to measure FOMC announcement impact. Missing prices during non-trading time periods are imputed iteratively during the estimation of model parameters. The study shows that the market trading on the announcement day is different from the market trading on a non-announcement for both the Eurodollar and T-Note futures market.

As the central bank of the United States, the Federal Reserve (Fed) manages the nation's money supply and credit, supervises and regulates a large share of the nation's banking and financial system. The most critical role of the Fed is to keep the economy healthy and the open market operation is one of the main means to control the market. The Fed's monetary policy affects prices, employment and economic growth by influencing the availability and the cost of money and credit in the economy. The FOMC meets eight times a year in Washington, D.C. and for each session, they set the Fed's monetary policy based on the extensive analysis of economic statistics. The press releases are issued after the FOMC meetings and they are very critical inputs to the interest rate market traders. Strategies are set in advance of the announcement and trading plans are developed. Once the announcements are made, the traders react to the information according to their predetermined plans.

This paper studies the impact due to FOMC announcement by looking at the microstructure of the futures market. The purpose of the study is to examine how differently market would react to the information from the FOMC and the difference is measured as the translation of normal distribution. The preliminary test based on the generalized linear model shows that there are differences in the overnight price level changes between the reference day and FOMC announcement day. The study shows that the FOMC announcement changes the autocorrelation structure and the overnight price level change. The ED futures market is more volatile and price level change is bigger at the announcement day.