Data and Code for "The Importance of Fed Chair Speeches as a Monetary Policy Tool"

Principal Investigator(s): View help for Principal Investigator(s) Eric T. Swanson, University of California, Irvine

Version: View help for Version V1

Name	File Type	Size	Last Modified
MATLAB			05/01/2023 01:19:PM
R			05/01/2023 01:20:PM
data			05/01/2023 01:20:PM
README.pdf	application/pdf	634 KB	05/01/2023 09:19:AM

Project Citation:

Swanson, Eric T. Data and Code for “The Importance of Fed Chair Speeches as a Monetary Policy Tool.” Nashville, TN: American Economic Association [publisher], 2023. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2023-05-22. https://doi.org/10.3886/E190488V1

Project Description

Summary:

I estimate the effects of FOMC announcements, post-FOMC press conferences, and speeches and Congressional testimony by the Fed Chair on stock prices, Treasury yields, and interest rate futures from 1988–2019. I show that for all but the very shortest-maturity interest rate futures, Fed Chair speeches are more important than FOMC announcements. My results suggest that the previous literature’s focus on FOMC announcements has ignored the most important source of variation in U.S. monetary policy.

Scope of Project

Subject Terms: high-frequency data; monetary policy surprises; forward guidance

JEL Classification:
E52 Monetary Policy
E58 Central Banks and Their Policies

Geographic Coverage: United States

Time Period(s): 1/1/1988 – 12/31/2019

Collection Date(s): 6/1/2020 – 12/31/2022

Universe: Eurodollar futures, S&P500 futures, and Treasury futures traded in Chicago
Federal Reserve announcement dates and times collected from various Federal Reserve sources and newswires

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Published Versions

V1 [2023-05-22]

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