Standing at Attention: The Impact of FOMC Press Conferences on Asset Prices

67 Pages Posted: 3 Jan 2019 Last revised: 10 Jul 2019

See all articles by Jonas N. Eriksen

Jonas N. Eriksen

Aarhus University and CREATES

Niels Groenborg

School of Economics and Business Economics, Aarhus University; CREATES; Danish Finance Institute

Date Written: July 8, 2019

Abstract

A press conference (PC) organized by the Federal Open Market Committee (FOMC) followed half of the scheduled announcements from 2011 to 2018. We show that risky assets earn higher excess returns that are increasing in market betas on PC days as predicted by the Capital Asset Pricing Model. No such response is observed on non-PC days. Consistent with this, uncertainty drops on PC days, but not on non-PC days. Treasury assets, conversely, earn large excess on non-PC days, suggesting an asymmetric response to monetary policy announcements. We discuss implications and possible explanations for our findings in terms of existing models.

Keywords: Asset Pricing, FOMC Press Conferences, Monetary Policy, Risk Premia

JEL Classification: G12, G14, E52, E58

Suggested Citation

Eriksen, Jonas Nygaard and Groenborg, Niels, Standing at Attention: The Impact of FOMC Press Conferences on Asset Prices (July 8, 2019). Available at SSRN: https://ssrn.com/abstract=3299330 or http://dx.doi.org/10.2139/ssrn.3299330

Jonas Nygaard Eriksen (Contact Author)

Aarhus University and CREATES ( email )

Fuglesangs Alle 4
Aarhus V, 8210
Denmark

Niels Groenborg

School of Economics and Business Economics, Aarhus University ( email )

Fuglesangs Allé 4
DK-8210 Aarhus V, 8210
Denmark

CREATES ( email )

School of Economics and Management
Fuglesangs Allé 4
DK-8210 Aarhus V
Denmark

Danish Finance Institute ( email )

Register to save articles to
your library

Register

Paper statistics

Downloads
55
Abstract Views
377
rank
367,171
PlumX Metrics