spb/phd_thesis Public

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(2002).43\newblock Econometric analysis of realized volatility and its use in estimating44  stochastic volatility models.45\newblock {\em Journal of the Royal Statistical Society: Series B (Statistical46  Methodology)}, 64(2):253--280.4748\bibitem[Benjamini and Hochberg, 1995]{benjamini1995controlling}49Benjamini, Y. and Hochberg, Y. (1995).50\newblock Controlling the false discovery rate: a practical and powerful51  approach to multiple testing.52\newblock {\em Journal of the Royal Statistical Society: Series B53  (Methodological)}, 57(1):289--300.5455\bibitem[Bernanke and Kuttner, 2005]{bernanke2005}56Bernanke, B.~S. and Kuttner, K.~N. (2005).57\newblock What explains the stock market's reaction to federal reserve policy?58\newblock {\em Journal of Finance}, 60(3):1221--1257.5960\bibitem[Bligh and Hess, 2008]{bligh2008}61Bligh, M.~C. and Hess, G.~D. 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(2012).85\newblock Macroeconomic effects of federal reserve forward guidance.86\newblock {\em Brookings Papers on Economic Activity}, 2012(1):1--80.8788\bibitem[Devlin et~al., 2019]{kenton2019}89Devlin, J., Chang, M.-W., Lee, K., and Toutanova, K. (2019).90\newblock Bert: Pre-training of deep bidirectional transformers for language91  understanding.92\newblock In {\em Proceedings of the 2019 Conference of the North American93  Chapter of the Association for Computational Linguistics}, pages 4171--4186.9495\bibitem[Ehrmann et~al., 2011]{ehrmann2011}96Ehrmann, M., Fratzscher, M., and Rigobon, R. (2011).97\newblock Global crises and equity market contagion.98\newblock {\em Journal of Finance}, 66(6):2597--2649.99100\bibitem[Eklund and Kim, 2024]{eklund2024}101Eklund, J. and Kim, S. (2024).102\newblock Fomc statement sentiment and inflation expectations.103\newblock {\em Journal of Monetary Economics}, 141:45--62.104105\bibitem[Fama, 1970]{fama1970}106Fama, E.~F. 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(1980).128\newblock On the impossibility of informationally efficient markets.129\newblock {\em American Economic Review}, 70(3):393--408.130131\bibitem[G{\"u}rkaynak et~al., 2005]{gurkaynak2005}132G{\"u}rkaynak, R.~S., Sack, B.~P., and Swanson, E.~T. (2005).133\newblock Do actions speak louder than words? the response of asset prices to134  monetary policy actions and statements.135\newblock {\em International Journal of Central Banking}, 1(1):55--93.136137\bibitem[Gürtler and Gürtler, 2010]{gurtler2010}138Gürtler, M. and Gürtler, O. (2010).139\newblock The effect of fomc statement language on financial markets.140\newblock {\em Journal of Financial Research}, 33(4):369--391.141142\bibitem[Hansen et~al., 2018]{hansen2017}143Hansen, S., McMahon, M., and Prat, A. (2018).144\newblock Transparency and deliberation within the fomc: A computational145  linguistics approach.146\newblock {\em Quarterly Journal of Economics}, 133(2):801--870.147148\bibitem[Hayo and Neuenkirch, 2010]{hayo2010}149Hayo, B. and Neuenkirch, M. (2010).150\newblock Do federal reserve communications help predict federal funds target151  rate decisions?152\newblock {\em Journal of Macroeconomics}, 32(4):1014--1024.153154\bibitem[Hu et~al., 2013]{hu2019}155Hu, G.~X., Pan, J., and Wang, J. (2013).156\newblock Noise as information for illiquidity.157\newblock {\em Journal of Finance}, 68(6):2341--2382.158159\bibitem[Jaro{\'c}inski and Kar{\'a}di, 2020]{jarocinski2020}160Jaro{\'c}inski, M. and Kar{\'a}di, P. (2020).161\newblock Deconstructing monetary policy surprises—the role of information162  shocks.163\newblock {\em American Economic Journal: Macroeconomics}, 12(2):1--43.164165\bibitem[Jord{\`a}, 2005]{jorda2005}166Jord{\`a}, {\`O}. (2005).167\newblock Estimation and inference of impulse responses by local projections.168\newblock {\em American Economic Review}, 95(1):161--182.169170\bibitem[Kuttner, 2001]{kuttner2001}171Kuttner, K.~N. (2001).172\newblock Monetary policy surprises and interest rates: Evidence from the fed173  funds futures market.174\newblock {\em Journal of Monetary Economics}, 47(3):523--544.175176\bibitem[Loughran and McDonald, 2011]{loughran2011}177Loughran, T. and McDonald, B. (2011).178\newblock When is a liability not a liability? textual analysis, dictionaries,179  and 10-ks.180\newblock {\em Journal of Finance}, 66(1):35--65.181182\bibitem[Lucca and Moench, 2015]{lucca2012}183Lucca, D.~O. and Moench, E. (2015).184\newblock The pre-fomc announcement drift.185\newblock {\em Journal of Finance}, 70(1):329--371.186187\bibitem[Manela and Moreira, 2017]{manela2017}188Manela, A. and Moreira, A. (2017).189\newblock News implied volatility and disaster concerns.190\newblock {\em Journal of Financial Economics}, 123(1):137--162.191192\bibitem[Muth, 1961]{muth1961}193Muth, J.~F. (1961).194\newblock Rational expectations and the theory of price movements.195\newblock {\em Econometrica}, 29(3):315--335.196197\bibitem[Nakamura and Steinsson, 2018]{nakamura2018}198Nakamura, E. and Steinsson, J. (2018).199\newblock High-frequency identification of monetary non-neutrality: The200  information effect.201\newblock {\em Quarterly Journal of Economics}, 133(3):1283--1330.202203\bibitem[Patton and Verardo, 2012]{patton2013}204Patton, A.~J. and Verardo, M. (2012).205\newblock Why do markets disagree? evidence from variation in opinion.206\newblock {\em Review of Financial Studies}, 25(12):3734--3773.207208\bibitem[Rosa, 2013]{rosa2013}209Rosa, C. (2013).210\newblock The high-frequency response of exchange rates and interest rates to211  macroeconomic announcements.212\newblock {\em Journal of Banking \& Finance}, 37(6):2162--2174.213214\bibitem[Savor and Wilson, 2014]{savor2014}215Savor, P. and Wilson, M. (2014).216\newblock Asset pricing: A tale of two days.217\newblock {\em Journal of Financial Economics}, 113(2):171--201.218219\bibitem[Schmeling and Wagner, 2019]{schmeling2019}220Schmeling, M. and Wagner, C. (2019).221\newblock Does central bank tone move asset prices?222\newblock {\em Review of Finance}, 23(5):933--972.223224\bibitem[Shapiro et~al., 2022]{shapiro2019}225Shapiro, A.~H., Sudhof, M., and Wilson, D.~J. (2022).226\newblock Taking the fed at its word: A new approach to estimating central bank227  objectives using text analysis.228\newblock {\em Review of Economics and Statistics}, 104(4):768--784.229230\bibitem[Swanson and Williams, 2014]{swanson2014}231Swanson, E.~T. and Williams, J.~C. (2014).232\newblock Measuring the effect of the zero lower bound on medium- and233  longer-term interest rates.234\newblock {\em American Economic Review}, 104(10):3154--3185.235236\bibitem[Veldkamp, 2011]{veldkamp2011}237Veldkamp, L.~L. (2011).238\newblock {\em Information Choice in Macroeconomics and Finance}.239\newblock Princeton University Press.240241\bibitem[Wang et~al., 2021]{wang2021tsdae}242Wang, K., Reimers, N., and Gurevych, I. (2021).243\newblock Tsdae: Using transformer-based sequential denoising auto-encoder for244  unsupervised sentence embedding learning.245\newblock In {\em Findings of the Association for Computational Linguistics:246  EMNLP 2021}, pages 671--688.247248\bibitem[Wongswan, 2009]{wongswan2009}249Wongswan, J. (2009).250\newblock The response of global equity indexes to u.s. monetary policy251  announcements.252\newblock {\em Journal of International Money and Finance}, 28(2):344--365.253254\end{thebibliography}255