spb/phd_thesis Public

1\begin{landscape}2\begin{table}[htbp]3\centering4\small5\caption{Price IRF: Policy Stance on Abnormal Cumulative Return}6\label{ch3:tab:irf_stance_abn_h}7\begin{threeparttable}8\begin{tabular}{lccccc}9\toprule10 & $h = 5$ min & $h = 15$ min & $h = 30$ min & $h = 60$ min & $h = 120$ min \\11\midrule12E-mini S\&P 500 & -- & -- & -- & -- & -- \\13VIX Futures & -15.04 & -22.74 & -28.86 & -28.65 & -30.54 \\14 & (7.07) & (9.76) & (10.84) & (16.52) & (37.21) \\1510Y T-Note & -0.85 & -3.12 & -4.67 & -8.29 & -15.86 \\16 & (1.20) & (2.81) & (3.59) & (4.03) & (8.44) \\175Y T-Note & 0.66 & -1.35 & -2.86 & -6.03 & -12.68 \\18 & (0.85) & (2.20) & (3.10) & (3.63) & (7.84) \\19Dollar Index & 0.78 & -0.55 & -2.72 & -7.27 & -15.99 \\20 & (0.92) & (1.86) & (2.63) & (3.73) & (8.39) \\21Crude Oil WTI & -2.33 & -2.79 & 0.99 & -3.76 & -2.65 \\22 & (3.71) & (5.05) & (7.17) & (8.73) & (8.44) \\23Gold & -1.77 & -5.75 & -5.34 & -8.84** & -13.76 \\24 & (1.25) & (2.57) & (2.54) & (2.66) & (5.73) \\25\midrule26$N$ & 148 & 148 & 148 & 148 & 148 \\27\bottomrule28\end{tabular}29\begin{tablenotes}[flushleft]30\small31\item \textit{Notes:} Jord\`a (2005) local projection: $\text{CumRet}_i(0 \to h) = \alpha + \beta_1 \text{Stance} + \beta_2 \text{Novelty} + \beta_3 \text{Stance} \times \text{Novelty} + \varepsilon$. Coefficient on Policy Stance reported in basis points ($\times 10^4$). All regressors z-scored. Newey--West HAC standard errors in parentheses. ES entries are omitted because abnormal returns are defined relative to the ES benchmark and are zero by construction. Pre-announcement placebo test passed: no significant pre-event coefficients.32\item $^{***}p<0.01$, $^{**}p<0.05$, $^{*}p<0.10$ (Benjamini--Hochberg adjusted within each (DV, model) family).33\end{tablenotes}34\end{threeparttable}35\end{table}36\end{landscape}37