@article{baker2016,
    title={Measuring Economic Policy Uncertainty},
    author={Baker, Scott R. and Bloom, Nicholas and Davis, Steven J.},
    journal={Quarterly Journal of Economics},
    volume={131},
    number={4},
    pages={1593--1636},
    year={2016},
    publisher={Oxford University Press}
}
@article{brusa2019,
    title={FOMC Announcements and Market Returns: Evidence from the Options Market},
    author={Brusa, Francesca and Savor, Pavel and Wilson, Mungo},
    journal={Journal of Finance},
    volume={75},
    number={1},
    pages={399--441},
    year={2019},
    publisher={Wiley Online Library}
}
@article{brusa2015,
    title={Asset Allocation and FOMC Announcements},
    author={Brusa, Francesca and Savor, Pavel and Wilson, Mungo},
    journal={Review of Financial Studies},
    volume={28},
    number={5},
    pages={1398--1446},
    year={2015},
    publisher={Oxford University Press}
}
@article{eklund2024,
    title={FOMC Statement Sentiment and Inflation Expectations},
    author={Eklund, Johan and Kim, Soyoung},
    journal={Journal of Monetary Economics},
    volume={141},
    pages={45--62},
    year={2024},
    publisher={Elsevier}
}
@article{kuttner2001,
    title={Monetary Policy Surprises and Interest Rates: Evidence from the Fed Funds Futures Market},
    author={Kuttner, Kenneth N},
    journal={Journal of Monetary Economics},
    volume={47},
    number={3},
    pages={523--544},
    year={2001},
    publisher={Elsevier}
}
@article{bernanke2005,
    title={What Explains the Stock Market's Reaction to Federal Reserve Policy?},
    author={Bernanke, Ben S and Kuttner, Kenneth N},
    journal={Journal of Finance},
    volume={60},
    number={3},
    pages={1221--1257},
    year={2005},
    publisher={Wiley Online Library}
}
@article{gurtler2010,
    title={The Effect of FOMC Statement Language on Financial Markets},
    author={Gürtler, Marc and Gürtler, Oliver},
    journal={Journal of Financial Research},
    volume={33},
    number={4},
    pages={369--391},
    year={2010},
    publisher={Wiley Online Library}
}
@article{ehrmann2011,
    title={Global Crises and Equity Market Contagion},
    author={Ehrmann, Michael and Fratzscher, Marcel and Rigobon, Roberto},
    journal={Journal of Finance},
    volume={66},
    number={6},
    pages={2597--2649},
    year={2011},
    publisher={Wiley Online Library}
}
@article{wongswan2009,
    title={The Response of Global Equity Indexes to U.S. Monetary Policy Announcements},
    author={Wongswan, Jon},
    journal={Journal of International Money and Finance},
    volume={28},
    number={2},
    pages={344--365},
    year={2009},
    publisher={Elsevier}
}
@article{lucca2012,
    title={The Pre-FOMC Announcement Drift},
    author={Lucca, David O and Moench, Emanuel},
    journal={Journal of Finance},
    volume={70},
    number={1},
    pages={329--371},
    year={2015},
    publisher={Wiley Online Library}
}
@article{hu2019,
    title={Noise as Information for Illiquidity},
    author={Hu, Grace Xing and Pan, Jun and Wang, Jiang},
    journal={Journal of Finance},
    volume={68},
    number={6},
    pages={2341--2382},
    year={2013},
    publisher={Wiley Online Library}
}
@article{savor2014,
    title={Asset Pricing: A Tale of Two Days},
    author={Savor, Pavel and Wilson, Mungo},
    journal={Journal of Financial Economics},
    volume={113},
    number={2},
    pages={171--201},
    year={2014},
    publisher={Elsevier}
}
@article{andersen2007,
    title={Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets},
    author={Andersen, Torben G and Bollerslev, Tim and Diebold, Francis X and Vega, Clara},
    journal={Journal of International Economics},
    volume={73},
    number={2},
    pages={251--277},
    year={2007},
    publisher={Elsevier}
}
@article{rosa2013,
    title={The High-Frequency Response of Exchange Rates and Interest Rates to Macroeconomic Announcements},
    author={Rosa, Carlo},
    journal={Journal of Banking \& Finance},
    volume={37},
    number={6},
    pages={2162--2174},
    year={2013},
    publisher={Elsevier}
}
@article{balduzzi2001,
    title={Economic News and Bond Prices: Evidence from the US Treasury Market},
    author={Balduzzi, Pierluigi and Elton, Edwin J and Green, T Clifton},
    journal={Journal of Financial and Quantitative Analysis},
    volume={36},
    number={4},
    pages={523--543},
    year={2001},
    publisher={Cambridge University Press}
}
@article{loughran2011,
    title={When is a Liability not a Liability? Textual Analysis, Dictionaries, and 10-Ks},
    author={Loughran, Tim and McDonald, Bill},
    journal={Journal of Finance},
    volume={66},
    number={1},
    pages={35--65},
    year={2011},
    publisher={Wiley Online Library}
}
@article{gentzkow2019,
    title={Text as Data},
    author={Gentzkow, Matthew and Kelly, Bryan and Taddy, Matt},
    journal={Journal of Economic Literature},
    volume={57},
    number={3},
    pages={535--574},
    year={2019},
    publisher={American Economic Association}
}
@inproceedings{kenton2019,
    title={BERT: Pre-training of Deep Bidirectional Transformers for Language Understanding},
    author={Devlin, Jacob and Chang, Ming-Wei and Lee, Kenton and Toutanova, Kristina},
    booktitle={Proceedings of the 2019 Conference of the North American Chapter of the Association for Computational Linguistics},
    pages={4171--4186},
    year={2019}
}
@article{araci2019,
    title={FinBERT: Financial Sentiment Analysis with Pre-trained Language Models},
    author={Araci, Dogu},
    journal={arXiv preprint arXiv:1908.10063},
    year={2019}
}
@article{bligh2008,
    title={The Decline of Symbolic Politics: Federal Reserve Communications},
    author={Bligh, Michelle C and Hess, Gregory D},
    journal={Journal of Economic Psychology},
    volume={29},
    number={4},
    pages={535--559},
    year={2008},
    publisher={Elsevier}
}
@article{shapiro2019,
    title={Taking the Fed at its Word: A New Approach to Estimating Central Bank Objectives using Text Analysis},
    author={Shapiro, Adam Hale and Sudhof, Moritz and Wilson, Daniel J},
    journal={Review of Economics and Statistics},
    volume={104},
    number={4},
    pages={768--784},
    year={2022},
    publisher={MIT Press}
}
@article{campbell2012,
    title={Macroeconomic Effects of Federal Reserve Forward Guidance},
    author={Campbell, Jeffrey R and Evans, Charles L and Fisher, Jonas DM and Justiniano, Alejandro},
    journal={Brookings Papers on Economic Activity},
    volume={2012},
    number={1},
    pages={1--80},
    year={2012},
    publisher={Brookings Institution Press}
}
@article{hansen2017,
    title={Transparency and Deliberation within the FOMC: A Computational Linguistics Approach},
    author={Hansen, Stephen and McMahon, Michael and Prat, Andrea},
    journal={Quarterly Journal of Economics},
    volume={133},
    number={2},
    pages={801--870},
    year={2018},
    publisher={Oxford University Press}
}
@article{nakamura2018,
    title={High-Frequency Identification of Monetary Non-neutrality: The Information Effect},
    author={Nakamura, Emi and Steinsson, J{\'o}n},
    journal={Quarterly Journal of Economics},
    volume={133},
    number={3},
    pages={1283--1330},
    year={2018},
    publisher={Oxford University Press}
}
@article{jarocinski2020,
    title={Deconstructing Monetary Policy Surprises—The Role of Information Shocks},
    author={Jaro{\'c}inski, Marek and Kar{\'a}di, Peter},
    journal={American Economic Journal: Macroeconomics},
    volume={12},
    number={2},
    pages={1--43},
    year={2020},
    publisher={American Economic Association}
}
@article{grossman1980,
    title={On the Impossibility of Informationally Efficient Markets},
    author={Grossman, Sanford J and Stiglitz, Joseph E},
    journal={American Economic Review},
    volume={70},
    number={3},
    pages={393--408},
    year={1980},
    publisher={American Economic Association}
}
@book{veldkamp2011,
    title={Information Choice in Macroeconomics and Finance},
    author={Veldkamp, Laura L},
    year={2011},
    publisher={Princeton University Press}
}
@article{patton2013,
    title={Why Do Markets Disagree? Evidence from Variation in Opinion},
    author={Patton, Andrew J and Verardo, Michela},
    journal={Review of Financial Studies},
    volume={25},
    number={12},
    pages={3734--3773},
    year={2012},
    publisher={Oxford University Press}
}
@article{manela2017,
    title={News Implied Volatility and Disaster Concerns},
    author={Manela, Asaf and Moreira, Alan},
    journal={Journal of Financial Economics},
    volume={123},
    number={1},
    pages={137--162},
    year={2017},
    publisher={Elsevier}
}
@article{andersen2003,
    title={Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange},
    author={Andersen, Torben G and Bollerslev, Tim and Diebold, Francis X and Vega, Clara},
    journal={American Economic Review},
    volume={93},
    number={1},
    pages={38--62},
    year={2003},
    publisher={American Economic Association}
}
  @article{benjamini1995controlling,
    title={Controlling the false discovery rate: a practical and powerful approach to multiple testing},
    author={Benjamini, Yoav and Hochberg, Yosef},
    journal={Journal of the Royal Statistical Society: Series B (Methodological)},
    volume={57},
    number={1},
    pages={289--300},
    year={1995},
    publisher={Wiley Online Library}
  }
@article{gurkaynak2005,
  title={Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements},
  author={G{\"u}rkaynak, Refet S and Sack, Brian P and Swanson, Eric T},
  journal={International Journal of Central Banking},
  volume={1},
  number={1},
  pages={55--93},
  year={2005}
}
@article{swanson2014,
  title={Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates},
  author={Swanson, Eric T and Williams, John C},
  journal={American Economic Review},
  volume={104},
  number={10},
  pages={3154--3185},
  year={2014},
  publisher={American Economic Association}
}
@article{gorodnichenko2023,
  title={The Voice of Monetary Policy},
  author={Gorodnichenko, Yuriy and Pham, Tho and Talavera, Oleksandr},
  journal={American Economic Review},
  volume={113},
  number={2},
  pages={548--584},
  year={2023},
  publisher={American Economic Association}
}
@article{schmeling2019,
  title={Does Central Bank Tone Move Asset Prices?},
  author={Schmeling, Maik and Wagner, Christian},
  journal={Review of Finance},
  volume={23},
  number={5},
  pages={933--972},
  year={2019},
  publisher={Oxford University Press}
}
@article{hayo2010,
  title={Do Federal Reserve Communications Help Predict Federal Funds Target Rate Decisions?},
  author={Hayo, Bernd and Neuenkirch, Matthias},
  journal={Journal of Macroeconomics},
  volume={32},
  number={4},
  pages={1014--1024},
  year={2010},
  publisher={Elsevier}
}
@techreport{apel2012,
  title={The Information Content of Central Bank Minutes},
  author={Apel, Mikael and Grimaldi, Marianna Blix},
  institution={Sveriges Riksbank},
  type={Working Paper Series},
  number={261},
  year={2012}
}
@article{fleming1999,
  title={Price Formation and Liquidity in the US Treasury Market: The Response to Public Information},
  author={Fleming, Michael J and Remolona, Eli M},
  journal={Journal of Finance},
  volume={54},
  number={5},
  pages={1901--1915},
  year={1999},
  publisher={Wiley Online Library}
}
@article{blinder2008,
  title={Central Bank Communication and Monetary Policy: A Survey of Theory and Evidence},
  author={Blinder, Alan S and Ehrmann, Michael and Fratzscher, Marcel and De Haan, Jakob and Jansen, David-Jan},
  journal={Journal of Economic Literature},
  volume={46},
  number={4},
  pages={910--945},
  year={2008},
  publisher={American Economic Association}
}
@article{barndorff2002,
  title={Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models},
  author={Barndorff-Nielsen, Ole E and Shephard, Neil},
  journal={Journal of the Royal Statistical Society: Series B (Statistical Methodology)},
  volume={64},
  number={2},
  pages={253--280},
  year={2002},
  publisher={Wiley Online Library}
}
@article{fama1970,
  title={Efficient Capital Markets: A Review of Theory and Empirical Work},
  author={Fama, Eugene F},
  journal={Journal of Finance},
  volume={25},
  number={2},
  pages={383--417},
  year={1970},
  publisher={Wiley Online Library}
}
@article{muth1961,
  title={Rational Expectations and the Theory of Price Movements},
  author={Muth, John F},
  journal={Econometrica},
  volume={29},
  number={3},
  pages={315--335},
  year={1961},
  publisher={JSTOR}
}
@inproceedings{wang2021tsdae,
  title={TSDAE: Using Transformer-based Sequential Denoising Auto-Encoder for Unsupervised Sentence Embedding Learning},
  author={Wang, Kexin and Reimers, Nils and Gurevych, Iryna},
  booktitle={Findings of the Association for Computational Linguistics: EMNLP 2021},
  pages={671--688},
  year={2021}
}
@article{andersen1997,
  title={Intraday Periodicity and Volatility Persistence in Financial Markets},
  author={Andersen, Torben G. and Bollerslev, Tim},
  journal={Journal of Empirical Finance},
  volume={4},
  number={2--3},
  pages={115--158},
  year={1997}
}
@article{jorda2005,
  title={Estimation and Inference of Impulse Responses by Local Projections},
  author={Jord{\`a}, {\`O}scar},
  journal={American Economic Review},
  volume={95},
  number={1},
  pages={161--182},
  year={2005}
}