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Do economic projection meetings reduce the information effect of monetary policy announcements? Evidence from high-frequency FOMC event windows

Author

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  • Mertzanis, Charilaos
  • Alsagr, Naif
  • Houcine, Asma

Abstract

We examine whether U.S. Federal Open Market Committee (FOMC) meetings that include a Summary of Economic Projections (SEP) are associated with systematically different high-frequency co-movement between interest rates and equity prices. Using the recent U.S. Monetary Policy Event-Study Database (USMPD) and standardized intraday windows around FOMC communications, we classify an event as an “information shock” when a short-horizon rate surprise proxy and the S&P 500 move in the same direction. In the 30-minute statement window, SEP meetings are about 14–15 percentage points less likely to produce information-shock co-movement than non-SEP meetings. Press-conference windows show no meaningful SEP differences, and the combined statement-plus-press-conference window yields smaller and statistically insignificant gaps. Our results suggest that the institutional SEP package is associated with a more policy-like market response at the moment of the statement release.

Suggested Citation

  • Mertzanis, Charilaos & Alsagr, Naif & Houcine, Asma, 2026. "Do economic projection meetings reduce the information effect of monetary policy announcements? Evidence from high-frequency FOMC event windows," Finance Research Letters, Elsevier, vol. 103(C).
    • Handle: RePEc:eee:finlet:v:103:y:2026:i:c:s1544612326006732
    DOI: 10.1016/j.frl.2026.110145
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    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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