Real-time price discovery via verbal communication: Method and application to Fedspeak

• 成果类型: Article
• 署名作者: Gomez-Cram, Roberto; Grotteria, Marco
• 署名单位: University of London; London Business School
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.12.004
• 发表日期: 2022
• 页码: 993-1025
• 关键词: Price discovery; monetary policy; Federal Reserve; FOMC; Video data

摘要

We study the price discovery process on FOMC days. For several asset classes, we find that price movements around the post-meeting statement release are strong predictors of price movements around the subsequent press conference. The correlation is 58% for medium-term Eurodollar futures and 44% for the S&P50 0 index. We then time-stamp the words pronounced in press conference videos and align these words with high-frequency financial data. Minutes in which the chairman discusses changes in the newly issued policy statement underlie the positive correlation. We discuss potential explanations and consider the implications of our findings for asset pricing and monetary economics.