Calomiris, Charles W. <br/><br/>
Fed Implied Market Prices and Risk Premia / 
Charles W. Calomiris, Joanna Harris, Harry Mamaysky, Cristina Tessari. 
 - Cambridge, Mass.  National Bureau of Economic Research  2022. 
 - 1 online resource:  illustrations (black and white); 
 - NBER working paper series  no. w30210 .
 - Working Paper Series (National Bureau of Economic Research)  no. w30210. .
<br/><br/> July 2022. 
<br/><br/> We introduce FDIF, a measure of Fed communication surprise based on the text of FOMC statements. FDIF measures the difference between text-implied and actual values of key market variables. Positive FDIF of countercyclical variables (e.g., credit spreads) is associated with negative macroeconomic forecast revisions; the opposite holds for procyclical variables. Industries that hedge bad FDIF news earn low returns on FOMC announcement days, but high returns on non-FOMC days. The opposite holds for FDIF-exposed industries, and the return differences are large. Controlling for FDIF exposure, rate-based policy surprise measures are not priced in the cross-section of industry returns. 
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<br/><br/><label>Subjects--Topical Terms: </label><br/>Business Fluctuations &bull; Cycles<br/>Financial Markets and the Macroeconomy<br/>Monetary Policy<br/>General Financial Markets<br/>Asset Pricing &bull; Trading Volume &bull; Bond Interest Rates