Macroeconomic News and Stock Prices over the FOMC Cycle

Posted: 21 Oct 2020

See all articles by Jack McCoy

Jack McCoy

Board of Governors of the Federal Reserve System

Michele Modugno

Board of Governors of the Federal Reserve System

Berardino Palazzo

Board of Governors of the Federal Reserve System

Steven A. Sharpe

Board of Governors of the Federal Reserve System

Date Written: October 14, 2020

Abstract

We develop novel macroeconomic surprise indices to identify the impact of macroeconomic releases on aggregate stock market returns over the FOMC cycle. We find that the aggregate stock prices are positively correlated with our real economic activity news index and negatively correlated with our price news index.

Suggested Citation

McCoy, Jack and Modugno, Michele and Palazzo, Berardino and Sharpe, Steven A., Macroeconomic News and Stock Prices over the FOMC Cycle (October 14, 2020). FEDS Notes No. 2020-10-14-1 https://doi.org/10.17016/2380-7172.2745, Available at SSRN: https://ssrn.com/abstract=3716361

Jack McCoy

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

Michele Modugno (Contact Author)

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

Berardino Palazzo

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

Steven A. Sharpe

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States
202-452-2875 (Phone)
202-452-3819 (Fax)

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