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FOMC Announcement Premia in Currency Markets

https://doi.org/10.2139/ssrn.5237922
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A five-factor asset pricing model
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Volatility risk premia and exchange rate predictability
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The Cross-Section of Currency Volatility Premia
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Equity tail risk and currency risk premiums
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Dissecting currency momentum
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The cross section of the monetary policy announcement premium
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Premium for heightened uncertainty: Explaining pre-announcement market returns
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The impact of European Central Bank Governing Council announcements on the foreign exchange market: a microstructural analysis
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Uncertainty, currency excess returns, and risk reversals
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Out-of-sample exchange rate predictability with Taylor rule fundamentals
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Monetary policy uncertainty
inferredcites →https://doi.org/10.1016/j.jmoneco.2021.02.003openalex-snapshot
The FOMC Risk Shift
inferredcites →https://doi.org/10.1016/j.jmoneco.2023.06.005openalex-snapshot
The macroeconomic announcement premium and information environment
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Foreign currency option values
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The relation between implied and realized volatility
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Shaping Expectations and Coordinating Attention: The Unintended Consequences of FOMC Press Conferences
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Using Stocks or Portfolios in Tests of Factor Models
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Forward-Looking Policy Rules and Currency Premia
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Currency Carry, Momentum, and Global Interest Rate Volatility
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Risk, Return, and Equilibrium: Empirical Tests
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Exchange Rates and Fundamentals
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Carry Trades and Currency Crashes
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International Liquidity and Exchange Rate Dynamics *
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Measuring Economic Policy Uncertainty*
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High Frequency Identification of Monetary Non-Neutrality: The Information Effect
inferredcites →https://doi.org/10.1093/rapstu/raaf003openalex-snapshot
Jumps and Post-FOMC Announcement Returns in Currency Markets
inferredcites →https://doi.org/10.1093/rfs/hhaa116openalex-snapshot
The Economics of the Fed Put
inferredcites →https://doi.org/10.1093/rfs/hhab080openalex-snapshot
A Model of Two Days: Discrete News and Asset Prices
inferredcites →https://doi.org/10.1093/rfs/hhac011openalex-snapshot
Macroeconomic Attention and Announcement Risk Premia
inferredcites →https://doi.org/10.1093/rfs/hhi027openalex-snapshot
The Model-Free Implied Volatility and Its Information Content
inferredcites →https://doi.org/10.1093/rfs/hhr068openalex-snapshot
Common Risk Factors in Currency Markets
inferredcites →https://doi.org/10.1093/rfs/hhw067openalex-snapshot
Currency Value
inferredcites →https://doi.org/10.1093/rof/rfac042openalex-snapshot
Information Acquisition, Uncertainty Reduction, and Pre-Announcement Premium in China
inferredcites →https://doi.org/10.1093/rof/rfae002openalex-snapshot
Common risk factors in cross-sectional FX options returns
inferredcites →https://doi.org/10.1111/0022-1082.00228openalex-snapshot
Option Prices, Implied Price Processes, and Stochastic Volatility
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The Cross‐Section of Volatility and Expected Returns
inferredcites →https://doi.org/10.1111/jofi.12021openalex-snapshot
Value and Momentum Everywhere
inferredcites →https://doi.org/10.1111/jofi.12196openalex-snapshot
The Pre-FOMC Announcement Drift
inferredcites →https://doi.org/10.1111/jofi.12755openalex-snapshot
Trade Network Centrality and Currency Risk Premia
inferredcites →https://doi.org/10.1257/0002828053828446openalex-snapshot
The Sensitivity of Long-Term Interest Rates to Economic News: Evidence and Implications for Macroeconomic Models
inferredcites →https://doi.org/10.1257/aer.20201220openalex-snapshot
An Alternative Explanation for the “Fed Information Effect”
inferredcites →https://doi.org/10.1257/jel.51.4.1063openalex-snapshot
Exchange Rate Predictability
inferredcites →https://doi.org/10.1257/mac.20180090openalex-snapshot
Deconstructing Monetary Policy Surprises: The Role of Information Shocks
inferredcites →https://doi.org/10.1287/mnsc.2017.2978openalex-snapshot
Option Prices in a Model with Stochastic Disaster Risk
inferredcites →https://doi.org/10.2139/ssrn.1148738openalex-snapshot
The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets
inferredcites →https://doi.org/10.2139/ssrn.1312091openalex-snapshot
How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements
inferredcites →https://doi.org/10.2139/ssrn.1392156openalex-snapshot
Bank of England Interest Rate Announcements and the Foreign Exchange Market
inferredcites →https://doi.org/10.2139/ssrn.1874668openalex-snapshot
On the High-Frequency Dynamics of Hedge Fund Risk Exposures
inferredcites →https://doi.org/10.2139/ssrn.1930516openalex-snapshot
The Share of Systematic Variation in Bilateral Exchange Rates
inferredcites →https://doi.org/10.2139/ssrn.2155491openalex-snapshot
Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
inferredcites →https://doi.org/10.2139/ssrn.2705818openalex-snapshot
Exchange Rates and Monetary Policy Uncertainty
inferredcites →https://doi.org/10.2139/ssrn.282451openalex-snapshot
Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options
inferredcites →https://doi.org/10.2139/ssrn.4310273openalex-snapshot
Current Account Uncertainty and Currency Premia
inferredcites →https://doi.org/10.2139/ssrn.647628openalex-snapshot
The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk
inferredcites →https://doi.org/10.2469/faj.v60.n5.2657openalex-snapshot
Hedge Fund Benchmarks: A Risk-Based Approach
inferredcites →https://doi.org/10.3386/w12916openalex-snapshot
The Returns to Currency Speculation in Emerging Markets
inferredcites →https://doi.org/10.3386/w24432openalex-snapshot
The Macroeconomic Announcement Premium
inferredcites →https://doi.org/10.3982/ecta14607openalex-snapshot
Risk Preferences and the Macroeconomic Announcement Premium
inferredcites →https://doi.org/10.82444/warw.33711346openalex-snapshot
The Economics of Exchange Rates
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