Table 10 U.S.A–cumulative averaged abnormal returns (CAARs) over the 5-day event window per monetary policy announcement category
Policy category | CAAR value (%) | Pos: Neg CAR | Number of CARs | Patell Z | Csect T | Generalized sign Z | Generalized rank Z | Skewness corrected T |
|---|---|---|---|---|---|---|---|---|
Interest rate | − 1.03 | 87:137 | 224 | 1.04E − 07 | 1.10E − 03 | 2.20E − 03 | 9.00E − 04 | 6.00E − 04 |
Foreign exchange | − 0.92 | 51:61 | 112 | 4.00E − 04 | 1.44E − 01 | 3.93E − 01 | 3.31E − 01 | 1.27E − 01 |
Lending operations | − 1.60 | 131:233 | 364 | 6.99E − 21 | 2.95E − 07 | 5.28E − 08 | 4.47E − 10 | 3.65E − 07 |
Asset purchases | − 0.52 | 110:142 | 252 | 5.80E − 03 | 2.00E − 01 | 3.80E − 02 | 1.30E − 01 | 1.94E − 01 |
Reserve policy | − 1.75 | 6:8 | 14 | 3.14E − 02 | 4.62E − 01 | 5.68E − 01 | 4.36E − 01 | 3.93E − 01 |
Other | 3.98 | 27:1 | 28 | 6.40E − 08 | 4.42E − 06 | 9.73E − 07 | 7.10E − 09 | 1.67E − 09 |