FOMC minutes sentiments and their impact on financial markets

Raul Cruz Tadle

Journal of Economics and Business, 2022, vol. 118, issue C, No S0148619521000394

Abstract: I develop a semi-automated method that systematically evaluates the information in FOMC meeting documents. This method highlights economic conditions and calculates document sentiment indices that proxy for the FOMC's interest rate tilt. I compare the sentiment indices of FOMC minutes and their corresponding FOMC statements. Using high-frequency data, I then examine how these sentiment indices are associated with the fed funds futures contracts, broad equity, and real estate investment trust indices, and exchange rate valuation of several major currencies against the U.S. Dollar. I find that minutes sentiments have a statistically significant association with the fed funds futures rate and the U.S. dollar's valuation.

Keywords: Federal Reserve; Policy documents; Sentiment analysis; Monetary policy; Asset prices; FOMC (search for similar items in EconPapers)
JEL-codes: E52 E58 G14 G15 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0148619521000394
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jebusi:v:118:y:2022:i:c:s0148619521000394

DOI: 10.1016/j.jeconbus.2021.106021

Access Statistics for this article

Journal of Economics and Business is currently edited by Emanuele Bajo and Moritz Ritter

More articles in Journal of Economics and Business from Elsevier
Bibliographic data for series maintained by Catherine Liu ().