Calomiris, Charles W.; Harris, Joanna; Mamaysky, Harry; … - National Bureau of Economic Research - 2022
We introduce FDIF, a measure of Fed communication surprise based on the text of FOMC statements. FDIF measures the difference between text-implied and actual values of key market variables. Positive FDIF of countercyclical variables (e.g., credit spreads) is associated with negative...
