The press releases from the Federal Open Market Committee(FOMC) are one of the major inputs to the interest rate futures market. To estimate the impact associated with the FOMC announcements, the random intervention model is used for an empirical study on the Interest Rate Futures markets, using transaction data. 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 reference day for both the Eurodollar and T-Note futures market.
University of Illinois - Urbana-Champaign
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University of Illinois at Urbana-Champaign