spb/wp47_uqo

1\begin{table}[tp]2\centering3\footnotesize4\begin{threeparttable}5\caption{Share of the yield day's realized factor variance falling in the $[-5,+25]$-minute announcement window, scheduled releases, 2011--2026 (H2)}6\label{tab:eventsb}7\setlength{\tabcolsep}{2pt}8\begin{tabular}{llrrcr@{\hspace{5pt}}rcr@{\hspace{5pt}}rcr}9\toprule10Release & Period & $n$ & \multicolumn{3}{c}{Level} & \multicolumn{3}{c}{Slope} & \multicolumn{3}{c}{Curvature} \\ \cmidrule(lr){4-6}\cmidrule(lr){7-9}\cmidrule(lr){10-12} & & & Mean & [95\% CI] & Median & Mean & [95\% CI] & Median & Mean & [95\% CI] & Median \\11\midrule12FOMC & All & 126 & 18.5 & [16.5, 20.6] & 15.0 & 19.9 & [17.5, 22.5] & 16.2 & 26.7 & [23.2, 30.1] & 21.8 \\13 & 2011--2015 & 39 & 25.4 & [21.1, 30.0] & 23.3 & 28.1 & [23.4, 32.9] & 26.0 & 29.3 & [22.9, 36.3] & 26.7 \\14 & 2016--2019 & 33 & 19.4 & [16.1, 23.1] & 15.3 & 21.7 & [17.9, 25.9] & 18.8 & 27.6 & [20.6, 35.1] & 22.8 \\15 & 2020--2021 & 15 & 15.1 & [11.0, 19.1] & 15.1 & 16.1 & [11.6, 20.5] & 16.2 & 16.2 & [9.0, 23.6] & 10.1 \\16 & 2022--2026 & 39 & 12.2 & [10.0, 14.4] & 11.0 & 11.6 & [9.7, 13.7] & 10.4 & 27.3 & [21.2, 33.3] & 23.4 \\17CPI & All & 187 & 16.0 & [14.4, 17.7] & 11.7 & 16.9 & [15.1, 18.8] & 12.7 & 20.7 & [17.6, 23.8] & 10.8 \\18 & 2011--2015 & 60 & 11.6 & [9.9, 13.4] & 9.3 & 12.7 & [10.6, 14.9] & 9.6 & 7.4 & [6.3, 8.6] & 5.9 \\19 & 2016--2019 & 47 & 13.6 & [11.0, 16.4] & 10.0 & 15.3 & [12.4, 18.4] & 11.0 & 13.9 & [11.0, 16.9] & 9.5 \\20 & 2020--2021 & 23 & 11.3 & [8.3, 14.5] & 9.2 & 12.1 & [8.5, 15.8] & 8.7 & 9.0 & [6.0, 12.6] & 5.3 \\21 & 2022--2026 & 57 & 24.5 & [20.8, 28.1] & 21.1 & 24.5 & [20.8, 28.7] & 20.8 & 44.8 & [39.2, 50.4] & 48.3 \\22Employment & All & 190 & 30.4 & [28.0, 33.3] & 24.9 & 33.1 & [30.5, 35.8] & 27.8 & 32.0 & [29.2, 34.9] & 26.5 \\23 & 2011--2015 & 60 & 44.7 & [39.9, 49.8] & 45.7 & 50.1 & [44.9, 55.2] & 49.0 & 33.2 & [28.4, 38.4] & 26.7 \\24 & 2016--2019 & 48 & 22.6 & [20.2, 25.3] & 21.6 & 25.8 & [23.1, 28.7] & 25.7 & 24.8 & [20.8, 29.1] & 20.4 \\25 & 2020--2021 & 24 & 22.8 & [17.2, 28.9] & 20.3 & 23.4 & [17.5, 30.2] & 20.3 & 13.3 & [9.5, 17.7] & 12.6 \\26 & 2022--2026 & 58 & 25.3 & [22.0, 29.0] & 22.7 & 25.5 & [22.2, 28.9] & 23.4 & 44.6 & [39.1, 50.3] & 44.2 \\27\bottomrule28\end{tabular}29\begin{tablenotes}[flushleft]\footnotesize30\item \textit{Notes:} Share is the sum of squared one-minute factor changes in the window divided by the sum over the whole yield day (15:30 ET to 15:30 ET) for the same factor, in percent. Cells give the mean across events, the 95\% interval of a 2,000-draw bootstrap over events (brackets, in percent) and the median across events; $n$ is the number of scheduled events with complete minute coverage. Under a uniform distribution of variance a 30-minute window out of a 1,380-minute session holds 2.2\% of the day; the all-sample shares are between 7 and 15 times that benchmark.31\end{tablenotes}32\end{threeparttable}33\end{table}34