FOMC Communication and Interest Rate Sensitivity to News

Jenny Tang

No 349, 2015 Meeting Papers from Society for Economic Dynamics

Abstract: This paper examines whether communications by the Federal Open Markets Committee play a role in determining the types of macroeconomic news that financial markets pay attention to. To do so, I construct a novel measure of labor-related word use in FOMC statements and meeting minutes. I find that these word use 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.

Date: 2015
New Economics Papers: this item is included in nep-mac and nep-mon
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Working Paper: FOMC communication and interest rate sensitivity to news (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:red:sed015:349

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