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
aea.m	text/x-objcsrc	3.7 KB	06/24/2019 08:01:PM
aealoadhfdata.m	text/x-objcsrc	7.5 KB	05/01/2023 09:19:AM
nantozip.m	text/x-matlab	56 bytes	05/01/2023 08:57:AM
ols.m	text/x-matlab	4 KB	05/21/2008 08:11:AM

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

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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DDI 2.5

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