FOMC communication and interest rate sensitivity to news

Jenny Tang

No 17-12, Working Papers from Federal Reserve Bank of Boston

Abstract: 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.

Keywords: Federal Reserve; FOMC; central bank communications; interest rates (search for similar items in EconPapers)
JEL-codes: E43 E52 E58 G12 (search for similar items in EconPapers)
Pages: 44 pages
Date: 2017-10-01
New Economics Papers: this item is included in nep-mac and nep-mon
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Citations: View citations in EconPapers (5)

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Related works:
Working Paper: FOMC Communication and Interest Rate Sensitivity to News (2015)
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