2604.01715 Pre-Registered Protocol: Intraday Price-Impact Concentration in YCC Band-Widening Episodes
We specify a pre-registered protocol for In the JGB 10-year futures market, is cumulative absolute log-return in the first 9 minutes after each BoJ yield-curve-control band-widening announcement a significantly larger share of the total 60-minute post-announcement absolute move than the same share on matched non-announcement days? using Osaka Exchange JGB futures intraday prints (available through TSE/OSE historical data, also mirrored on Bloomberg and Refinitiv); BoJ press release timestamps are public on BoJ website.