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FOMC Minutes : As a Source of Central Bank Communication Surprise

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  • Kansoy, Fatih

    (University of Warwick)

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.

Suggested Citation

  • Kansoy, Fatih, 2022. "FOMC Minutes : As a Source of Central Bank Communication Surprise," The Warwick Economics Research Paper Series (TWERPS) 1436, University of Warwick, Department of Economics.
    • Handle: RePEc:wrk:warwec:1436
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    File URL: https://warwick.ac.uk/fac/soc/economics/research/workingpapers/2022/twerp_1436_-_kansoy.pdf
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    More about this item

    Keywords

    Central Bank Communication ; FOMC Minutes ; Monetary Policy Shocks JEL Codes: C1 ; D83 ; E5.;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness

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