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FOMC minutes : as a source of central bank communication surprise
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Kansoy, Fatih (2022) FOMC minutes : as a source of central bank communication surprise. Working Paper. Coventry, UK: University of Warwick. Department of Economics. Warwick economics research papers series (WERPS) (1436). (Unpublished)
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Official URL: https://warwick.ac.uk/fac/soc/economics/research/w...
Abstract
This paper examines whether and to what extent publications of the Federal Open Market Committee (FOMC) minutes contain significant information for the expectation of future monetary policy in the US. We construct measure of new surprise series with intradaily data for the Fed futures contracts and the responses of stock markets, fixed income markets and exchange rates to these surprises during 2004–2017. We find that the release of FOMC minutes affects the market volatility and financial asset prices respond significantly to FOMC minutes announcements. Finally, volatility and the volume of reactions increase during the zero lower bound. Specifically, this research finds that the release of FOMC minutes induces “higher than normal” volatility and shows that financial markets respond quickly and significantly to the release of FOMC minutes.
Item Type: | Working or Discussion Paper (Working Paper) | ||||
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Subjects: | H Social Sciences > HG Finance | ||||
Divisions: | Faculty of Social Sciences > Economics | ||||
Library of Congress Subject Headings (LCSH): | Board of Governors of the Federal Reserve System (U.S.), Banks and banking, Central -- United States, Monetary policy -- United States | ||||
Series Name: | Warwick economics research papers series (WERPS) | ||||
Publisher: | University of Warwick. Department of Economics | ||||
Place of Publication: | Coventry, UK | ||||
ISSN: | 0083-7350 | ||||
Official Date: | 12 November 2022 | ||||
Dates: |
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Number: | 1436 | ||||
Number of Pages: | 47 | ||||
Institution: | University of Warwick | ||||
Status: | Not Peer Reviewed | ||||
Publication Status: | Unpublished | ||||
Access rights to Published version: | Open Access (Creative Commons) | ||||
Description: | |||||
Date of first compliant deposit: | 14 November 2022 | ||||
Date of first compliant Open Access: | 15 November 2022 |
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