对联邦公开市场委员会公告关注有限的因果效应

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Economic Behavior & Organization Pub Date : 2025-04-10 DOI:10.1016/j.jebo.2025.106999

Paul Marmora

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引用次数: 0

摘要

本文利用16个国家联邦公开市场委员会（FOMC）公告与国家法定假日接近的例子，发现外源性假日引起的注意力不集中抑制了FOMC发布前的异常现象，并延迟了当地基准股指在FOMC发布后的反应，这表明分心的当地投资者忘记了一项公告的安排。这一结果表明，即使是最引人注目的全球新闻项目也可能受到投资者的忽视，这为普遍存在的关注产生更高交易量的假设提供了一个鲜明的反例，并有助于缩小在重大宏观经济公告之前经常观察到的回报漂移的合理解释范围。

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The causal effect of limited attention to FOMC announcements

Exploiting instances where Federal Open Market Committee (FOMC) announcements fall close to a national holiday in 16 foreign countries, this paper finds that exogenous holiday-induced inattention suppresses pre-FOMC anomalies and delays post-FOMC reactions in the local benchmark stock index, suggesting that distracted local investors forget that an announcement is scheduled. This result demonstrates that even the most salient global news items can be subject to investor neglect, provides a stark counterexample to the prevailing assumption that attention generates higher trade volume, and helps narrow the range of plausible explanations for the return drift frequently observed before major macroeconomic announcements.

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来源期刊

Journal of Economic Behavior & Organization ECONOMICS-

CiteScore

3.80

自引率

9.10%

发文量

392

期刊介绍： The Journal of Economic Behavior and Organization is devoted to theoretical and empirical research concerning economic decision, organization and behavior and to economic change in all its aspects. Its specific purposes are to foster an improved understanding of how human cognitive, computational and informational characteristics influence the working of economic organizations and market economies and how an economy structural features lead to various types of micro and macro behavior, to changing patterns of development and to institutional evolution. Research with these purposes that explore the interrelations of economics with other disciplines such as biology, psychology, law, anthropology, sociology and mathematics is particularly welcome.