Macroeconomic News and Stock Prices over the FOMC Cycle
Posted: 21 Oct 2020
Date Written: October 14, 2020
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: Suggested Citation