When Bernanke Talks, the Markets Listen : The Case of the First FOMC Press Conference on Monetary Policy

This note examines minute-by-minute reactions of the US interest rate and stock markets to the first Federal Open Market Committee press conference on monetary policy. Volatility and volume effects during the press conference are shown to be less pronounced but more lasting than those observed immediately after the release of the monetary policy statement. Market responses during the press conference are found to be deterministic and originate from questions and answers pertaining to future monetary policy and the state of the economy. These findings are in line with the clarification objective of the Fed's new communication framework.A visual presentation of the results is available on the author's Web site