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Financial Market Reactions to the Novelty of Information in FOMC Minutes

Author

Listed:
  • Niklas Humann
  • Dimitrios Kanelis
  • Lars H. Kranzmann
  • Pierre L. Siklos

Abstract

We study how financial markets respond to the incremental information conveyed by FOMC minutes. Using paragraph-level embeddings, we score each paragraph by its semantic distance to the closest paragraph in previously released public communications. Aggregating these paragraph-level scores yields two indices: overall novelty, which captures the degree of novelty, and novelty tilt, which captures the composition of novelty, i.e., whether new content is concentrated in the staff review or the committee discussion sections. In high-frequency event study regressions around minutes releases, overall novelty is associated primarily with the magnitude, rather than the sign, of asset-price responses, whereas novelty tilt is informative about the direction of repricing. Methodologically, we develop a disclosure-based framework for quantifying novelty in FOMC minutes over time.

Suggested Citation

  • Niklas Humann & Dimitrios Kanelis & Lars H. Kranzmann & Pierre L. Siklos, 2026. "Financial Market Reactions to the Novelty of Information in FOMC Minutes," CAMA Working Papers 2026-54, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    • Handle: RePEc:een:camaaa:2026-54
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    File URL: https://crawford.anu.edu.au/sites/default/files/2026-07/54_2026_Humann_Kanelis_Kranzmann_Siklos.pdf
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    Keywords

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    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • 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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