The Tone of the Beige Book and the Pre-FOMC Announcement Drift

25 Pages Posted: 16 Jan 2019 Last revised: 10 Mar 2020

See all articles by Yasutomo Tsukioka

Yasutomo Tsukioka

Kwansei Gakuin University

Takahiro Yamasaki

Osaka Sangyo University

Date Written: January 29, 2020


We examine whether disclosed information from the Federal Reserve (Fed) affects investor expectations of monetary policy decisions and whether the disclosed information leads to the pre-Federal Open Market Committee (FOMC) announcement drift through investor expectations of monetary policy. We measure the tone of the Beige Books, speeches, and testimonies using text-mining techniques. We find that the tone of the Beige Books positively relates to federal funds rate (FFR) changes and expected FFR changes. We also find that expected FFR changes are negatively associated with stock market index returns in the 24 hours prior to FOMC announcement time. These results suggest that the Beige Book implies monetary policy changes and positively affects investor expectations. In addition, these results suggest that disclosed information from the Fed leads to pre-FOMC announcement drift though the investor expectations.

Keywords: FOMC, Federal Reserve, Beige Book, Monetary Policy, Textual Analysis

JEL Classification: E52, E58, G12

Suggested Citation

Tsukioka, Yasutomo and Yamasaki, Takahiro, The Tone of the Beige Book and the Pre-FOMC Announcement Drift (January 29, 2020). Available at SSRN: or

Yasutomo Tsukioka (Contact Author)

Kwansei Gakuin University ( email )

1-1-155, Uegahara
Nishinomiya, 669-1337

Takahiro Yamasaki

Osaka Sangyo University ( email )


Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
PlumX Metrics