Table 7 U.S.A.—averaged abnormal returns (AARs) over each day of the 5-day event window per monetary policy announcement categorisation

Interest rate events

− 0.56%

− 0.18%

− 0.65%

0.44%

− 0.07%

Positive: negative AARs

102:122

127:97

91:133

90:134

102:122

Patell test

1.00E − 04

4.00E − 04

2.90E − 13

3.00E − 04

4.35E − 01

Generalized sign Z test

2.88E − 01

2.27E − 02

1.13E − 02

7.60E − 03

2.88E − 01

Cross sectional test

2.50E − 03

2.79E − 01

3.00E − 04

4.86E − 02

6.11E − 01

Generalized rank Z test

6.92E − 02

9.50E − 01

1.00E − 04

9.26E − 01

1.12E − 01

Skewness corrected test

9.00E − 04

2.70E − 01

1.00E − 04

2.41E − 02

6.00E − 01

CDA test

1.00E − 63

9.23E − 12

3.38E − 75

5.23E − 47

2.90E − 03

Foreign exchange events

− 0.59%

0.07%

0.29%

− 0.03%

0.06%

Positive: negative AARs

129:141

128:142

153:117

127:143

129:141

Patell test

6.15E − 08

2.18E − 01

2.50E − 03

4.50E − 01

3.49E − 01

Generalized sign Z test

5.69E − 01

4.90E − 01

1.87E − 02

4.17E − 01

5.69E − 01

Cross sectional test

9.00E − 04

6.96E − 01

1.34E − 01

8.55E − 01

7.34E − 01

Generalized rank Z test

8.62E − 02

9.43E − 01

7.46E − 02

4.59E − 01

7.25E − 01

Skewness corrected test

1.00E − 04

6.85E − 01

1.53E − 01

8.44E − 01

7.29E − 01

CDA test

1.14E − 73

1.40E − 03

3.00E − 29

1.44E − 01

7.80E −  03

Lending operations events

− 0.54%

− 0.54%

− 0.14%

0.32%

− 0.70%

Positive: negative AARs

149:215

162:202

176:188

199:165

148:216

Patell test

1.83E − 10

1.25E − 22

1.64E − 01

2.51E −  06

5.00E −  16

Generalized sign Z test

4.00E − 04

2.84E − 02

4.69E − 01

9.16E − 02

3.00E −  04

Cross sectional test

3.00E − 04

1.10E − 03

3.97E − 01

4.72E −  02

0.00E + 00

Generalized rank Z test

4.00E − 04

1.40E − 03

4.55E − 01

4.34E −  02

1.00E −  04

Skewness corrected test

2.00E − 04

7.00E − 04

3.95E − 01

4.78E −  02

0.00E + 00

CDA test

2.88E − 117

4.09E − 116

2.77E −  23

3.41E −  70

9.32E −  142

Asset purchase events

0.19%

0.40%

− 0.32%

− 0.26%

− 0.53%

Positive: negative AARs

131:121

152:100

133:119

102:150

102:150

Patell test

1.02E − 02

1.60E − 03

4.00E −  04

3.50E −  02

5.11E −  10

Generalized sign Z test

5.68E − 01

1.30E − 03

4.11E − 01

2.10E −  03

2.10E −  03

Cross sectional test

2.33E − 01

6.66E − 02

1.55E − 01

1.82E − 01

2.20E −  03

Generalized rank Z test

8.55E − 02

6.00E − 04

4.68E − 01

1.66E − 01

3.70E −  03

Skewness corrected test

2.40E − 01

7.57E − 02

1.45E − 01

1.86E − 01

1.00E −  03

CDA test

5.85E − 21

3.10E − 60

7.06E −  45

1.77E −  33

2.43E −  82

Reserve events

− 0.93%

− 2.92%

− 2.36%

2.53%

1.93%

Positive: negative AARs

6: 8

4: 10

5: 9

10: 4

10: 4

Patell test

2.12E − 02

4.00E − 21

4.75E −  16

2.29E −  20

6.82E −  09

Generalized sign Z test

5.68E − 01

1.01E − 01

2.69E − 01

1.17E − 01

1.17E − 01

Cross sectional test

4.81E − 01

4.94E − 02

9.14E − 02

3.18E −  02

1.61E −  02

Generalized rank Z test

4.08E − 01

4.04E − 02

7.30E − 02

1.77E −  02

8.40E −  03

Skewness corrected test

4.82E − 01

4.06E − 02

5.63E − 02

1.75E −  02

2.37E −  02

CDA test

0.00E + 00

2.40E − 32

1.76E −  23

4.25E −  26

3.37E −  17

Other events

− 0.78%

− 0.23%

1.45%

1.64%

1.90%

Positive: negative AARs

14: 14

10: 18

16: 12

20: 8

27: 1

Patell test

1.20E − 03

4.41E − 01

4.00E −  04

1.26E −  09

9.81E −  11

Generalized sign Z test

9.87E − 01

1.26E − 01

4.60E − 01

2.44E −  02

9.73E −  07

Cross sectional test

1.36E − 02

3.81E − 01

1.10E −  03

1.20E −  03

5.68E −  07

Generalized rank Z test

1.54E − 02

1.08E − 01

6.00E −  03

2.00E −  04

1.15E −  10

Skewness corrected test

1.09E − 02

4.21E − 01

7.00E −  04

8.00E −  04

1.84E −  15

CDA test

0.00E + 00

1.92E − 01

6.87E −  15

4.49E −  18

9.65E −  23