The classical Taylor rules usually do not yield the same estimation error when working in a monthly or a quarterly framework. This brings us to the conclusion that there must be something that monthly Taylor rules can capture and that the quarterly one cannot: we postulate that it simply boils...

US interest rates’ overnight reaction to macroeconomic announcements is of tremendous importance when trading fixed income securities. Most of the empirical studies achieved so far either assumed that the interest rates’ reaction to announcements is linear or independent to the state of the...

The classical Taylor rules usually do not yield the same estimation error when working in a monthly or a quarterly framework. This brings us to the conclusion that there must be something that monthly Taylor rules can capture and that the quarterly one cannot: we postulate that it simply boils...