FOMC communication and interest rate sensitivity to news

Jenny Tang

In this paper, I examine whether communications by the Federal Open Market Committee (FOMC) play a role in determining the types of macroeconomic news that financial markets pay attention to. To do so, I construct novel measures of the intensity with which FOMC statements and meeting minutes discussed labor relative to other topics. I find that these labor topic intensity measures are related to the amount by which interest rates' response to labor-related news exceeds their response to all other news. This relationship is especially strong for interest rates of longer maturities and is also present for short-term interest rate expectations over various horizons.

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Year of publication:	2017 ; This version: October 2017
Authors:	Tang, Jenny
Publisher:	Boston, MA : Federal Reserve Bank of Boston
Subject:	Federal Reserve \| FOMC \| central bank communication \| interest rates \| Zins \| Interest rate \| Geldpolitik \| Monetary policy \| Zentralbank \| Central bank \| Kommunikation \| Communication \| Politische Kommunikation \| Political communication \| Zinspolitik \| Interest rate policy \| Ankündigungseffekt \| Announcement effect

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Extent:	1 Online-Ressource (circa 44 Seiten) Illustrationen
Series:	Working papers / Federal Reserve Bank of Boston. - Boston, Mass. : [Verlag nicht ermittelbar], ZDB-ID 2180749-8. - Vol. no. 17, 12
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Other identifiers:	hdl:10419/202909 [Handle]
Classification:	E43 - Determination of Interest Rates; Term Structure Interest Rates ; E52 - Monetary Policy (Targets, Instruments, and Effects) ; E58 - Central Banks and Their Policies ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011764553