Abstract
The present paper evaluates the effect that the events and policy actions important for the Federal Reserve had in five US financial markets. Analysis concentrates on events starting from February 2007 up to August 2009, as dictated by the financial-crisis timeline of the Federal Reserve Bank of St. Louis. Evaluation is indicated via an economic and statistical significance criterion. The former is based on Sharpe-ratio and the latter on Welch's t-test. Robustness of the latter criterion as appropriate for event evaluation is provided via a Kolmogorov–Smirnov test. An overall comparative analysis across the board of categories of the financial events is provided as well. Are there categories of events more significant than others? Is it fiscal decisions or policy actions that more significantly affect US financial markets? Results suggest that academics, economists and financiers re-think the significance of some of the events and policy decisions. Analysis is implemented in the following US financial markets: stock spot indices, stock index futures, Exchange Traded Funds, US Treasury bond futures and spot exchange rates.
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