FOMC Minutes: As a Source of Monetary Policy Surprise
The extent to which information about future monetary policy is conveyed by the minutes of the United States Federal Open Market Committee meetings that are published three weeks later is examined. The change in the price of one-year Eurodollar interest rate futures in the ten-minute interval after the publication of the minutes is used as the measure of the news content of the minutes. The price is more volatile in this interval than in similar intervals on other days, consistent with the interpretation of the price changes as a news effect of the minutes, but less volatile than when the post-meeting statements are published. The minutes have tended to become more detailed over time, but the estimated news effect has not increased. More news in the minutes is not associated with less news in the next post-meeting statement. Publication of minutes affects asset prices similarly to publication of statements, but a unit of “minutes news” tends to have a smaller effect than a unit of “statement news”.