ABSTRACT
This paper attempts to examine the U.S. stock market response to a variety of Federal Reserve FOMC member communications during which the Fed’s monetary policy was at the zero lower bound. The authors construct a unique database of 1557 communication events between 2009 and 2015 from both voting and non-voting members of the FOMC. This paper finds that communications by FOMC members that are perceived by the market as doves or dovish trigger significantly higher market volatility than those perceived by the market as centrists, hawks or hawkish.
Keywords
FOMC, zero lower bound, dove, hawk, stock market, volatility