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Financial Market Effects of FOMC Communication: Evidence from a New Event-Study Database

Author

Listed:
  • Acosta, Miguel
  • Ajello, Andrea
  • Bauer, Michael
  • Loria, Francesca
  • Miranda-Agrippino, Silvia

Abstract

This paper introduces the U.S. Monetary Policy Event-Study Database (USMPD), a novel, public, and regularly updated dataset of financial market data around Federal Open Market Committee (FOMC) policy announcements, press conferences, and minutes releases. Using the rich high-frequency data in the USMPD, we document several new empirical findings. Large monetary policy surprises have made a comeback in recent years, and post-meeting press conferences have become the most important source of policy news. Monetary policy surprises have pronounced negative effects on breakeven inflation based on Treasury yields. Risk assets, including dividend derivatives, also respond strongly and negatively to monetary policy surprises, consistent with conventional channels of monetary transmission. Press conferences have stronger effects than FOMC statements on most asset prices. Finally, the term structure evidence shows peak effects on market-based inflation and dividend expectations at horizons of several years.

Suggested Citation

  • Acosta, Miguel & Ajello, Andrea & Bauer, Michael & Loria, Francesca & Miranda-Agrippino, Silvia, 2026. "Financial Market Effects of FOMC Communication: Evidence from a New Event-Study Database," CEPR Discussion Papers 21003, Centre for Economic Policy Research.
    • Handle: RePEc:cpr:ceprdp:21003
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    Cited by:

    1. is not listed on IDEAS
    2. Martin Bruns & Helmut Lütkepohl & James McNeil, 2026. "Reassessing Proxy-based Identification of Multiple Monetary Policy Shocks for the Euro Area, the US , and the UK," University of East Anglia School of Economics Working Paper Series 2026-02, School of Economics, University of East Anglia, Norwich, UK..
    3. Christopher D. Cotton, 2025. "The Predictability of Global Monetary Policy Surprises," Working Papers 25-14, Federal Reserve Bank of Boston.

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    Keywords

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    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • 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

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