Research "Taste"

Pre-FOMC drift replicates and is roughly halved post-2011. On SPY minute bars 2000–2026 the average 09:30 (day t−1) → 14:15 (day t) drift is +36 bps (n=209 scheduled meetings); splitting at 2012-01-01 gives +48 bps pre vs +25 bps post. The break aligns with Lucca & Moench’s NY Fed staff report (2011).