Macroeconomic News and Stock Prices Over the FOMC Cycle

Jack McCoy, Michele Modugno, Berardino Palazzo and Steven Sharpe

No 2020-10-14-1, FEDS Notes from Board of Governors of the Federal Reserve System (U.S.)

Abstract: We develop novel macroeconomic surprise indices to identify the impact of macroeconomic releases on aggregate stock market returns over the FOMC cycle. We find that the aggregate stock prices are positively correlated with our real economic activity news index and negatively correlated with our price news index.

Date: 2020-10-14
New Economics Papers: this item is included in nep-fdg and nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfn:2020-10-14-1

DOI: 10.17016/2380-7172.2745

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