WP302_FOMCdata_2

Abstract

We collect intraday data on days with scheduled (# 112) and unscheduled (# 2) FOMC announcements between 2006 and 2019, for which detailed data on prices (and fund flows) are available.9 We then measure the change of the seven variables within an event window of 90 minutes (-15m:+75m) around FOMC announcements. Since 2011, the Fed frequently holds a press conference about one up to two hours after the actual announcement. In these cases (36), we extend the event window to the closing price (16:15) of the announcement day