All Datasets
Finance·CSV·Updated 2024-Q1
Market Reaction to Macro Announcements
Intraday S&P 500 price reactions in the 30-minute window around 14 categories of scheduled macroeconomic announcements, 2010–2023. Includes CPI, FOMC, NFP, GDP, PPI, and 9 additional announcement types.
Rows
14,200
Columns
22
Size
890 MB
Downloads
2,106
License
Quandl Community License
MacroEvent StudyIntradayVolatilityFOMC
Source
Quandl/Nasdaq Data Link, FRED Economic Calendar, Bloomberg (announcement times)
License: Quandl Community License (non-commercial)
https://data.nasdaq.comKnown Limitations
Bid-ask spread data prior to 2014 is less reliable. Simultaneous announcement releases (e.g., simultaneous CPI and FOMC days) require careful handling.