The Effect of FOMC Votes on Financial Markets

• 成果类型: Article
• 署名作者: Madeira, Carlos; Madeira, Joao
• 署名单位: Central Bank of Chile; University of York - UK
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/rest_a_00770
• 发表日期: 2019-12
• 页码: 921-932
• 关键词: monetary-policy; social value; preferences; INFORMATION; dissent; members; news

摘要

This paper shows that since votes of members of the Federal Open Market Committee have been included in press statements, stock prices increase after the announcement when votes are unanimous but fall when dissent (which typically is due to preference for higher interest rates) occurs. This pattern started prior to the 2007-2008 financial crisis. The differences in stock market reaction between unanimity and dissent remain, even controlling for the stance of monetary policy and consecutive dissent. Statement semantics also do not seem to explain the documented effect. We find no differences between unanimity and dissent with respect to impact on market risk and Treasury securities.