Meeting-Day Microstructure and Reaction-Function Inference

Scheduled meetings sit at the intersection of three distinct risk premia: directional rate risk priced through SOFR futures and options, volatility risk priced through swaption straddles, and reaction-function uncertainty embedded in the cross-section of forward-path implieds. Lucca and Moench (2015) document the pre-FOMC announcement drift — roughly 80% of the unconditional US equity risk premium since 1994 has accrued in the 24 hours preceding scheduled FOMC announcements.

Cross-bank disclosure norms differ substantially: the ECB publishes accounts with roughly four weeks' delay and offers no SEP equivalent; the Bank of England releases the full MPC vote breakdown with the statement; the Bank of Japan historically published Outlook Reports four times per year with median projections.