The paper benefits greatly from the comments and suggestions of two anonymous referees. The authors thank John Cuddington, Yelena Larkin, Jean Lim, Fred Sterbenz, colleagues at SUNY at Buffalo, Colorado State University, and Northern Kentucky University, and session participants at the 2008 FMA conference, the 2010 Midwest Finance Association conference, the 2010 Front Range Seminar, and the 2012 KAFA-KIF Joint Symposium for valuable comments and discussion. Earlier versions of this paper were circulated under the title “Fed Speak: A Market Microstructure Analysis.” The usual disclaimer applies.
Liquidity and Information Flow around Monetary Policy Announcement
Version of Record online: 11 JUL 2013
© 2013 The Ohio State University
Journal of Money, Credit and Banking
Volume 45, Issue 5, pages 781–820, August 2013
How to Cite
CHUNG, K. H., ELDER, J. and KIM, J.-C. (2013), Liquidity and Information Flow around Monetary Policy Announcement. Journal of Money, Credit and Banking, 45: 781–820. doi: 10.1111/jmcb.12025
- Issue online: 11 JUL 2013
- Version of Record online: 11 JUL 2013
- Manuscript Accepted: 16 JUL 2012
- Manuscript Received: 13 JUN 2011
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