FOMC communication and interest rate sensitivity to news

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
Authors:	Tang, Jenny
Publisher:	Boston, MA : Federal Reserve Bank of Boston
Subject:	Federal Reserve \| FOMC \| central bank communication \| interest rates

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Series:	Working Papers ; 17-12
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	1009610724 [GVK] 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:	EconStor

Persistent link: https://www.econbiz.de/10012059584