spb/wp47_uqo

1\begin{table}[tp]\centering\footnotesize2\caption{Local-projection responses to announcement-window shocks: persistence of the initial move}3\label{tab:lp}4\resizebox{\textwidth}{!}{%5\begin{tabular}{llccccccccc}6\toprule7 & & \multicolumn{4}{c}{Minutes after release} & \multicolumn{5}{c}{Yield days after release} \\8\cmidrule(lr){3-6}\cmidrule(lr){7-11}9Release & Response & 25 & 60 & 120 & 240 & 0 & 1 & 2 & 5 & 10 \\10\midrule11FOMC statement ($n=125$) & 2-year yield & 1.00$^{**}$ & 1.02$^{**}$ & 1.04$^{**}$ & 1.05$^{**}$ & 1.07$^{**}$ & 0.99$^{**}$ & 1.16$^{**}$ & 1.23$^{**}$ & 1.67$^{**}$ \\12 & 10-year yield & 0.54$^{**}$ & 0.68$^{**}$ & 0.62$^{**}$ & 0.65$^{**}$ & 0.66$^{**}$ & 0.70$^{**}$ & 0.74$^{**}$ & 1.15$^{**}$ & 1.73$^{**}$ \\13 & Short rate & $-$0.17$^{**}$ & $-$0.19$^{**}$ & $-$0.19$^{**}$ & $-$0.18$^{**}$ & $-$0.22$^{**}$ & $-$0.14$^{**}$ & $-$0.17$^{**}$ & $-$0.22$^{**}$ & $-$0.21$^{**}$ \\14 & Level & 0.09 & 0.29 & 0.19 & 0.23 & 0.22 & 0.35 & 0.28 & 0.86$^{**}$ & 1.46$^{**}$ \\15 & Slope & $-$0.26$^{**}$ & $-$0.48$^{**}$ & $-$0.37$^{**}$ & $-$0.41$^{**}$ & $-$0.43$^{**}$ & $-$0.49 & $-$0.45 & $-$1.09$^{**}$ & $-$1.66$^{**}$ \\16 & Curvature & 3.57$^{**}$ & 3.34$^{**}$ & 3.56$^{**}$ & 3.52$^{**}$ & 3.68$^{**}$ & 3.08$^{**}$ & 3.80$^{**}$ & 3.19$^{**}$ & 3.69$^{**}$ \\17\addlinespace18CPI release ($n=187$) & 2-year yield & 1.00$^{**}$ & 1.02$^{**}$ & 0.97$^{**}$ & 0.95$^{**}$ & 0.96$^{**}$ & 0.91$^{**}$ & 0.83$^{**}$ & 0.80$^{**}$ & 0.62 \\19 & 10-year yield & 0.71$^{**}$ & 0.73$^{**}$ & 0.69$^{**}$ & 0.67$^{**}$ & 0.64$^{**}$ & 0.59$^{**}$ & 0.61$^{**}$ & 0.70$^{**}$ & 0.53 \\20 & Short rate & $-$0.05$^{**}$ & $-$0.05$^{**}$ & $-$0.04$^{*}$ & $-$0.04$^{*}$ & $-$0.03 & $-$0.03 & $-$0.04$^{*}$ & $-$0.05 & $-$0.03 \\21 & Level & 0.38$^{**}$ & 0.39$^{**}$ & 0.37$^{**}$ & 0.35$^{**}$ & 0.30$^{**}$ & 0.26$^{*}$ & 0.34$^{*}$ & 0.51$^{*}$ & 0.37 \\22 & Slope & $-$0.43$^{**}$ & $-$0.44$^{**}$ & $-$0.41$^{**}$ & $-$0.39$^{**}$ & $-$0.33$^{**}$ & $-$0.29$^{*}$ & $-$0.38$^{*}$ & $-$0.55$^{*}$ & $-$0.40 \\23 & Curvature & 2.88$^{**}$ & 2.92$^{**}$ & 2.77$^{**}$ & 2.77$^{**}$ & 2.82$^{**}$ & 2.71$^{**}$ & 2.35$^{**}$ & 2.00$^{**}$ & 1.57 \\24\addlinespace25Employment report ($n=189$) & 2-year yield & 1.00$^{**}$ & 0.98$^{**}$ & 1.04$^{**}$ & 1.08$^{**}$ & 1.14$^{**}$ & 1.20$^{**}$ & 1.05$^{**}$ & 1.08$^{**}$ & 1.10$^{**}$ \\26 & 10-year yield & 0.85$^{**}$ & 0.84$^{**}$ & 0.91$^{**}$ & 0.93$^{**}$ & 0.93$^{**}$ & 0.97$^{**}$ & 0.85$^{**}$ & 0.85$^{**}$ & 0.96$^{**}$ \\27 & Short rate & $-$0.11$^{**}$ & $-$0.10$^{**}$ & $-$0.09$^{**}$ & $-$0.09$^{**}$ & $-$0.08$^{**}$ & $-$0.07$^{*}$ & $-$0.06$^{*}$ & $-$0.05 & $-$0.03 \\28 & Level & 0.58$^{**}$ & 0.58$^{**}$ & 0.65$^{**}$ & 0.65$^{**}$ & 0.61$^{**}$ & 0.63$^{**}$ & 0.55$^{**}$ & 0.54$^{**}$ & 0.70$^{*}$ \\29 & Slope & $-$0.69$^{**}$ & $-$0.68$^{**}$ & $-$0.74$^{**}$ & $-$0.74$^{**}$ & $-$0.69$^{**}$ & $-$0.70$^{**}$ & $-$0.61$^{**}$ & $-$0.59$^{**}$ & $-$0.73$^{**}$ \\30 & Curvature & 2.67$^{**}$ & 2.57$^{**}$ & 2.63$^{**}$ & 2.80$^{**}$ & 3.05$^{**}$ & 3.20$^{**}$ & 2.80$^{**}$ & 2.88$^{**}$ & 2.68$^{**}$ \\31\addlinespace32\bottomrule33\end{tabular}}34\begin{minipage}{\textwidth}\footnotesize35\textit{Notes:} Each cell is the slope coefficient $\beta_h$ of the regression, across scheduled events of the given type (2011--2026), of the cumulated change in the response variable from five minutes before the release to horizon $h$ on the change in the implied 2-year yield over the $[-5,+25)$-minute window (both in basis points), so that $\beta_h$ is in basis points per basis point of the window move. A coefficient of 1 means that the initial 2-year move is fully persistent (for the 2-year yield itself $\beta_{25}=1$ by construction); values below 1 indicate reversal, above 1 continuation. Intraday horizons use the minute-level futures-based factors; daily horizons cumulate the futures-based factor changes to the end of the yield day of the release (0) and of the following 1, 2, 5 and 10 yield days. $^{*}$ and $^{**}$: $|\beta_h/\mathrm{se}|>1.96$ and $>2.58$ with heteroskedasticity-robust (HC0) standard errors; 95\% bootstrap intervals are in Figure~\ref{fig:lp}. No multiple-testing adjustment is applied to this descriptive table.36\end{minipage}37\end{table}