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Fedspeak: Who Moves U.S. Asset Prices?

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  • Carlo Rosa

    (Federal Reserve Bank of New York)

Abstract

This paper examines the financial market impact of different types of Federal Reserve communications on several U.S. asset prices (Treasury rates, stock prices, and the euro–U.S. dollar exchange rate) using an intraday event-study analysis. I construct a new database of over 2,200 Federal Reserve events for the period 2001–12. I document that some Federal Reserve events, such as the release of FOMC statements and minutes, the Chairman’s semi-annual Monetary Policy Report to Congress, and his speeches, significantly increase both the volatility of U.S. asset prices and their trading volume. In contrast, speeches by the other members of the Board of Governors (including the Vice Chair) and by regional Federal Reserve Bank presidents do not significantly move U.S. asset prices. Finally, I find that, with the notable exception of FOMC statements, no other Federal Reserve event is associated with positive and statistically significant pre-announcement returns.

Suggested Citation

  • Carlo Rosa, 2016. "Fedspeak: Who Moves U.S. Asset Prices?," International Journal of Central Banking, International Journal of Central Banking, vol. 12(4), pages 223-261, December.
    • Handle: RePEc:ijc:ijcjou:y:2016:q:4:a:6
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    References listed on IDEAS

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    Cited by:

    1. Domenico Lombardi & Pierre L. Siklos & Samantha St. Amand, 2019. "Asset Price Spillovers from Unconventional Monetary Policy: A Global Empirical Perspective," International Journal of Central Banking, International Journal of Central Banking, vol. 15(2), pages 43-74, June.
    2. Pavel Gertler & Roman Horvath, 2017. "Market Reading of Central Bankers Words. A High-Frequency Evidence," Working and Discussion Papers WP 2/2017, Research Department, National Bank of Slovakia.
    3. Gertler, Pavel & Horvath, Roman, 2018. "Central bank communication and financial markets: New high-frequency evidence," Journal of Financial Stability, Elsevier, vol. 36(C), pages 336-345.
    4. Bodilsen, Simon & Eriksen, Jonas N. & Grønborg, Niels S., 2021. "Asset pricing and FOMC press conferences," Journal of Banking & Finance, Elsevier, vol. 128(C).
    5. Dr. Enzo Rossi & Vincent Wolff, 2020. "Spillovers to exchange rates from monetary and macroeconomic communications events," Working Papers 2020-18, Swiss National Bank.
    6. Aakriti Mathur & Rajeswari Sengupta, 2019. "Analysing monetary policy statements of the Reserve Bank of India," IHEID Working Papers 08-2019, Economics Section, The Graduate Institute of International Studies.
    7. Wang, Ling, 2022. "The dynamics of money supply determination under asset purchase programs: A market-based versus a bank-based financial system," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).

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