This research is part of the Center for Monetary Research at the Federal Reserve Bank of San Francisco:
sffed.us/CMR

Thanks to my excellent coauthors Miguel Acosta, andreaajello.bsky.social, Francesca Loria, and Silvia Miranda-Agrippino!

We also find that monetary policy has significant effects on market-based inflation and dividend expectations that are consistent with conventional transmission channels. Term structure responses peak at longer horizons, suggesting there are signals about the reaction function.

In our working paper "Financial Market Effects of FOMC Communication: Evidence from a New Event-Study Database" we describe the USMPD in detail and document new empirical results. For example, large policy surprises have made a comeback, and press conferences play a key role...

The USMPD contains market reactions to all official FOMC communication events since 1994, including statements, post-meeting press conferences and minutes releases. It also includes data and code for high-frequency monetary policy surprises.

Apropos, we regularly update our measure of market-based monetary policy uncertainty, published via our
SF Fed Center for Monetary Research:
www.frbsf.org/research-and...

In a nutshell, the paper proposes a taxonomy for economic risks and uncertainties, reviews various measures and models available for quantitative assessments, and discusses ways how central banks can communicate uncertainty to the public. 2/3

Selection Committee: Michael Bauer, Sylvain Leduc, Thomas Mertens, and Pascal Paul

More info is also in our conference call for papers:
www.frbsf.org/news-and-med...

The nominee should have received their Ph.D. within the last ten years, but exceptions due to career breaks are possible. Please send nominations to [email protected] by May 31, 2025. Nominations should include a brief justification and the nominee’s CV. Self-nominations are accepted.