Standing at Attention: The Impact of FOMC Press Conferences on Asset Prices
67 Pages Posted: 3 Jan 2019 Last revised: 10 Jul 2019
Date Written: July 8, 2019
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: Suggested Citation