U.S. and Global Financial Market Reactions to Monetary Policy

Yuriy Gorodnichenko, University of California-Berkeley; Tho Pham, University of Reading; Oleksandr Talavera, University of Birmingham

2022-12-05

This dataset collection integrates detailed data on U.S. monetary policy decisions, media coverage, and high-frequency financial market responses across a variety of global asset classes. It includes parsed FOMC statements and meeting minutes, sentiment and volume metrics from newspaper media coverage, and monetary policy shocks based on Swanson’s event-study methodology. Complementing these are a series of data files containing estimated intraday asset price responses covering currencies (EUR, GBP, JPY), U.S. Treasuries (IEF, IEI), inflation-protected securities (TIPS), gold, and equities, aligned with monetary policy announcement timing. These datasets enable empirical research into the transmission of monetary policy through financial markets, central bank communication, and global asset price dynamics.