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Constructing high-frequency monetary policy surprises from SOFR futures

Miguel Acosta, Connor M. Brennan, Margaret M. Jacobson
Year of publication:
2024
Authors: Acosta, Miguel ; Brennan, Connor M. ; Jacobson, Margaret M.
Subject: Empirical macroeconomics | High-frequency identification | Monetary policy surprises | Geldpolitik | Monetary policy | Ankündigungseffekt | Announcement effect
freely available
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