American Economic Review 90: 429â457. Schwert GW. 1981. The adjustment of stock prices to information about inflation. Journal of Finance 36: 15â29.
Andersen TG, Bollerslev T, Diebold FX, Vega C. 2007. Real-time price discovery in global stock, bond and foreign exchange markets. Journal of International Economics 73: 251â277.
Angrist JD, Jordá O, Kuersteiner GM. 2018. Semiparametric estimates of monetary policy effects: String theory revisited. Journal of Business and Economic Statistics 36: 371â387.
Aruoba B, Diebold FX, Scotti C. 2009. Real-time measurement of business conditions. Journal of Business and Economic Statistics 27: 417â427.
Baker S, Bloom N, Davis SJ. 2016. Measuring economic policy uncertainty. Quarterly Journal of Economics 131: 1593â1636.
- Banerjee S, DePooter M, Grishchenko OV, Strum B, Walsh C. 2019. Gauging the sentiment of Federal Open Market Committee communications through the eyes of the financial press. Working Paper, Board of Governors of the Federal Reserve System.
Paper not yet in RePEc: Add citation now
- Banerji G. 2020. The stock market is ignoring the economy. April 17, Wall Street Journal.
Paper not yet in RePEc: Add citation now
Bauer MD, Swanson ET. 2020. The Fedâs response to economic news explains the âFed information effectâ. Working paper 2020-06, Federal Reserve Bank of San Francisco.
Benamar H, Foucautl T, Vega C. 2021. Demand for information, uncertainty and the response of U.S. Treasury securities to news. Review of Financial Studies 34: 3403â3455.
Bernanke BS, Kuttner KN. 2005. What explains the stock marketâs reaction to Federal Reserve policy? Journal of Finance 60: 1221â1257.
- Board of Governors. 2018. Monetary Policy Report submitted to the Congress on February 23, 2018, pursuant to section 2B of the Federal Reserve Act. Note, Board of Governors of the Federal Reserve System.
Paper not yet in RePEc: Add citation now
Borio C. 2020. The Covid-19 economic crisis: Dangerously unique. Business Economics 55: 181â 190.
Boyd JH, Hu J, Jagannathan R. 2005. The stock marketâs reaction to unemployment news: Why bad news is usually good for stocks. Journal of Finance 60: 649â672.
- Brave SA, Butters RA, Kelley D. 2019. A new âbig dataâ index of U.S. economic activity. Economic Perspectives, Federal Reserve Bank of Chicago 43.
Paper not yet in RePEc: Add citation now
Caldara D, Gagnon E, Martinez-Garcia E, Neely CJ. 2020. Monetary policy and economic performance since the financial crisis. Finance and Economics Discussion Series No. 2020-065, Board of Governors of the Federal Reserve System.
Caldara D, Iacoviello M. 2018. Measuring geopolitical risk. IFDP Notes No. 1222, Board of Governors of the Federal Reserve System.
Campbell J, Evans C, Fisher J, Justiniano A. 2012. Macroeconomic effects of Federal Reserve forward guidance. Brookings Papers on Economic Activity 43: 1â80.
Christiano LJ, Eichenbaum M, Evans CL. 1996. The effects of monetary policy shocks: Evidence from the flow of funds. Review of Economics and Statistics 78: 16â34.
Cieslak A, Schrimpf A. 2019. Non-monetary news in central bank communication. Journal of International Economics 118: 293â315.
- Cochrane JH, Piazzesi M. 2002. The Fed and interest ratesâa high-frequency identification. American Economic Review 92: 90â95.
Paper not yet in RePEc: Add citation now
- Cutler DM, Poterba JM, Summers LH. 1989. What moves stock prices? Journal of Portfolio Management 15: 4â12.
Paper not yet in RePEc: Add citation now
Demiralp S, King S, Scotti C. 2019. Does anyone listen when politicians talk? The effect of political commentaries on policy rate decisions and expectations. Journal of International Money and Finance 95: 95â111.
Engstrom E, Sharpe S. 2018. The near-term forward yield spread as a leading indicator: A less distorted mirror. Finance and Economics Discussion Series No. 2018-055, Board of Governors of the Federal Reserve System.
Faust J, Swanson ET, Wright JH. 2004a. Do Federal Reserve policy surprises reveal superior information about the economy? Contributions to Macroeconomics 4: 1â29.
Faust J, Swanson ET, Wright JH. 2004b. Identifying VARS based on high frequency futures data.
- Femia K, Friedman S, Sack B. 2013. The effects of policy guidance on perceptions of the Fedâs reaction function. Staff Report No. 652, Federal Reserve Bank of New York.
Paper not yet in RePEc: Add citation now
Gilbert T, Scotti C, Strasser G, Vega C. 2017. Is the intrinsic value of a macroeconomic news announcement related to its asset price impact? Journal of Monetary Economics 92: 78â95.
Gilchrist S, ZakrajÅ¡ek E. 2012. Credit spreads and business cycle fluctuations. American Economic Review 102: 1692â1720.
Goldberg LS, Grisse C. 2013. Time variation in asset price responses to macro announcements.
Hamilton JD, Jordá O. 2002. A model of the federal funds rate target. Journal of Political Economy 110: 1135â1167.
- Hansen S, McMahon M, Prat A. 2017. Transparency and deliberation within the FOMC: A computational linguistics approach. Quarterly Journal of Economics 133: 801â870.
Paper not yet in RePEc: Add citation now
Hansen S, McMahon M. 2016. Shocking language: Understanding the macroeconomic effects of central bank communication. Journal of International Economics 99: 114â133.
Hoesch L, Rossi B, Sekhposyan T. 2020. Has the information channel of monetary policy disappeared ? revisiting the empirical evidence. Working Paper 2020-08, Federal Reserve Bank of San Francisco.
Husted L, Rogers J, Sun B. 2020. Monetary policy uncertainty. Journal of Monetary Economics 115: 20â36.
Journal of Monetary Economics 51: 1107 â 1131. Favara G, Gilchrist S, Lewis KF, ZakrajÅ¡ek E. 2016. Updating the recession risk and the excess bond premium. Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System.
Journal of Monetary Economics 82: 1â19. Shapiro AH, Sudhof M, Wilson DJ. 2020. Measuring news sentiment. Journal of Econometrics .
Kuttner KN. 2001. Monetary policy surprises and interest rates: Evidence from the Fed funds futures market. Journal of Monetary Economics 47: 523â544.
Larsen VH, Thorsrud LA. 2019. The value of news for economic developments. Journal of Econometrics 210: 203â218. Annals Issue in Honor of John Geweke, Complexity and Big Data in Economics and Finance: Recent Developments from a Bayesian Perspective.
- Law TH, Song D, Yaron A. 2020. Fearing the Fed: How Wall Street reads Main Street. Working Paper, Wharton Business School.
Paper not yet in RePEc: Add citation now
Lopez-Salido D, Stein JC, Zakrajšek E. 2017. Credit-market sentiment and the business cycle.
Lucca DO, Trebbi F. 2009. Measuring central bank communication: An automated approach with application to FOMC statements. Working paper, National Bureau of Economic Research.
McQueen G, Roley V. 1993. Stock prices, news, and business conditions. Review of Financial Studies 6: 683â707.
Nakamura E, Steinsson J. 2018. High frequency identification of monetary non neutrality: The information effect. Quarterly Journal of Economics 133: 1283â1330.
Orphanides A. 2001. Monetary policy rules based on real-time data. American Economic Review 91: 964â985.
- Orphanides A. 2005. Historical monetary policy analysis and the Taylor rule. Journal of Monetary Economics 50: 983â1022.
Paper not yet in RePEc: Add citation now
Pearce DK, Roley VV. 1985. Stock prices and economic news. Journal of Business 58: 49â67.
Piazzesi M. 2005. Bond yields and the Federal Reserve. Journal of Political Economy 113: 311â344.
Picault M, Renault T. 2019. Words are not all created equal: A new measure of ECB communication.
Quarterly Journal of Economics 132: 1373â1426. Loughran T, McDonald B. 2011. When is a liability not a liability? Textual analysis, dictionaries, and 10-Ks. Journal of Finance 66: 35â65.
Rogers JH, Scotti C, Wright JH. 2018. Unconventional monetary policy and international risk premia. Journal of Money, Credit and Banking 50: 1827â1850.
Romer CD, Romer DH. 2000. Federal Reserve information and the behavior of interest rates.
Scotti C. 2011. A bivariate model of Federal Reserve and ECB main policy rates. International Journal of Central Banking 7: 37â78.
Scotti C. 2016. Surprise and uncertainty indexes: Real-time aggregation of real-activity macrosurprises.
Swanson ET, Williams JC. 2014. Measuring the effect of the zero lower bound on medium-and longer-term interest rates. American Economic Review 104: 3154â3185.
- Swanson ET. 2020. Measuring the effects of Federal Reserve forward guidance and asset purchases on financial markets. Journal of Monetary Economics 118: 32â53.
Paper not yet in RePEc: Add citation now
Veronesi P. 1999. Stock market overreaction to bad news in good times: A rational expectations equilibrium model. Review of Financial Studies 12: 975â1007.
Working Paper, National Bureau of Economic Research. Gürkaynak RS, Sack BP, Swanson ET. 2005. The excess sensitivity of long-term interest rates to economic news: Evidence and implications for macroeconomic models. American Economic Review 95: 425â436.
Working paper, University of Orleans. Rogers JH, Scotti C, Wright JH. 2014. Evaluating asset-market effects of unconventional monetary policy: A cross-country comparison. Economic Policy 29: 749â799.