spb/wp47_uqo

1\begin{table}[tp]2\centering3\footnotesize4\begin{threeparttable}5\caption{Announcement windows $[-5,+25]$ minutes: standard deviation of factor and yield changes and ratio to placebo windows, scheduled releases, 2011--2026 (H2)}6\label{tab:eventsa}7\setlength{\tabcolsep}{3pt}8\begin{tabular}{llrrrrrrrrr}9\toprule10Release & Period & $n$ & \multicolumn{6}{c}{SD of window change (bp)} & \multicolumn{2}{c}{SD ratio to placebo [95\% CI]} \\ \cmidrule(lr){4-9}\cmidrule(lr){10-11} & & & Level & Slope & Curv. & Short rate & 2-year & 10-year & Short rate & 10-year \\11\midrule12FOMC & All & 126 & 2.9 & 3.2 & 15.0 & 0.99 & 4.0 & 2.9 & 4.9 [3.8, 6.2] & 3.4 [2.8, 4.1] \\13 & 2011--2015 & 39 & 4.3 & 4.8 & 15.6 & 1.39 & 3.9 & 3.7 & 6.2 [3.9, 9.5] & 4.6 [3.4, 6.1] \\14 & 2016--2019 & 33 & 2.0 & 2.4 & 11.9 & 0.93 & 3.3 & 2.4 & 5.4 [3.2, 8.2] & 3.5 [2.4, 4.9] \\15 & 2020--2021 & 15 & 1.8 & 1.9 & 7.3 & 0.96 & 1.5 & 1.5 & 4.0 [1.2, 7.6] & 1.5 [0.7, 2.3] \\16 & 2022--2026 & 39 & 1.9 & 2.0 & 18.8 & 0.48 & 5.2 & 2.4 & 2.5 [1.9, 3.3] & 2.6 [1.7, 3.7] \\17CPI & All & 187 & 2.8 & 3.0 & 14.9 & 0.50 & 5.1 & 3.8 & 1.9 [1.6, 2.3] & 2.8 [2.2, 3.3] \\18 & 2011--2015 & 60 & 2.2 & 2.4 & 3.4 & 0.38 & 1.3 & 1.9 & 1.3 [0.9, 1.8] & 1.5 [1.2, 1.8] \\19 & 2016--2019 & 47 & 2.0 & 2.3 & 5.3 & 0.43 & 1.9 & 2.1 & 2.2 [1.5, 3.2] & 1.9 [1.4, 2.5] \\20 & 2020--2021 & 23 & 1.8 & 2.1 & 5.3 & 0.53 & 1.5 & 1.7 & 1.8 [1.1, 2.6] & 1.6 [1.1, 2.3] \\21 & 2022--2026 & 57 & 4.0 & 4.2 & 25.9 & 0.61 & 8.9 & 6.4 & 2.3 [1.6, 2.9] & 3.5 [2.8, 4.4] \\22Employment & All & 190 & 4.3 & 4.8 & 13.8 & 0.88 & 4.8 & 4.6 & 3.1 [2.6, 3.6] & 3.5 [3.0, 4.1] \\23 & 2011--2015 & 60 & 6.2 & 7.0 & 10.4 & 1.25 & 3.9 & 5.6 & 5.0 [3.9, 6.4] & 4.9 [4.0, 5.8] \\24 & 2016--2019 & 48 & 2.0 & 2.4 & 7.9 & 0.61 & 2.6 & 2.3 & 2.7 [1.9, 3.8] & 2.1 [1.5, 2.6] \\25 & 2020--2021 & 24 & 2.4 & 2.7 & 5.1 & 0.69 & 1.5 & 2.1 & 2.4 [1.5, 3.5] & 2.3 [1.6, 3.1] \\26 & 2022--2026 & 58 & 3.7 & 4.1 & 21.3 & 0.67 & 7.3 & 5.4 & 1.8 [1.4, 2.3] & 3.1 [2.4, 3.8] \\27\bottomrule28\end{tabular}29\begin{tablenotes}[flushleft]\footnotesize30\item \textit{Notes:} Window change is the sum of one-minute factor changes (basis points) from 5 minutes before to 25 minutes after the scheduled release time (FOMC: 14:15 ET before April 2011, 12:30 ET on press-conference days in 2011--2012, 14:00 ET from 2013; CPI and Employment Situation: 08:30 ET); $n$ is the number of scheduled events with complete minute coverage of the window. Short rate is the implied change in $y(0)=L+S$ (two decimals because it is sub-basis-point in 2011--2015); 2-year and 10-year are the implied yield changes $\Delta L+\Delta S\,\ell_2(\tau)+\Delta C\,\ell_3(\tau)$. SD ratio to placebo is the standard deviation of the window change on event days divided by that on placebo windows taken at the same clock time on three non-event days per event (same weekday, within 200 days); brackets give the 95\% interval of a 2,000-draw bootstrap that resamples events and placebo windows with replacement (events treated as independent). Only scheduled FOMC statements are included. Curvature is scaled by the Nelson--Siegel loading and is therefore several times more volatile than level and slope in factor units.31\end{tablenotes}32\end{threeparttable}33\end{table}34