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

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.

本研究量化估算了1988年至2019年间，联邦公开市场委员会（FOMC）会议声明、FOMC会后新闻发布会，以及美联储主席的演讲与国会证词对股票价格、国债收益率及利率期货的影响。研究发现，除期限极短的利率期货外，美联储主席演讲的政策影响显著高于FOMC会议声明。本研究结果表明，现有学术文献仅聚焦FOMC会议声明，实则忽视了美国货币政策波动的核心影响来源。