Financial Market Reactions to the Novelty of Information in FOMC Minutes

Niklas Humann, Dimitrios Kanelis, Lars H. Kranzmann and Pierre L. Siklos

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: We study how financial markets respond to the incremental information conveyed by FOMC minutes. Using paragraph-level embeddings, we score each paragraph by its semantic distance to the closest paragraph in previously released public communications. Aggregating these paragraph-level scores yields two indices: overall novelty, which captures the degree of novelty, and novelty tilt, which captures the composition of novelty, i.e., whether new content is concentrated in the staff review or the committee discussion sections. In high-frequency event study regressions around minutes releases, overall novelty is associated primarily with the magnitude, rather than the sign, of asset-price responses, whereas novelty tilt is informative about the direction of repricing. Methodologically, we develop a disclosure-based framework for quantifying novelty in FOMC minutes over time.

Keywords: artificial intelligence; central bank communication; high-frequency event study; FOMC minutes; textual novelty (search for similar items in EconPapers)
JEL-codes: E44 E52 E58 G14 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2026-07
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2026-54

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