FOMC Tone Surprise and Treasury Yield Event Study

FOMC Tone Surprise and Treasury Yield Event Study: a task in skilltrainbench-public: skilltrainbench training tasks (Harbor dataset). You are given Federal Reserve FOMC statement excerpts, a monetary-policy tone lexicon, and daily Treasury constant maturity yields. Build an event-study panel that…

The task

You are given Federal Reserve FOMC statement excerpts, a monetary-policy tone lexicon, and daily Treasury constant maturity yields. Build an event-study panel that links statement tone surprises to short-rate yield moves and estimate the event-level sensitivity with a simple OLS regression.

Part of codeslord/skilltrainbench-public.