Goldman Sachs Review of Market Reaction to FOMC - FJElite

We find that, under Chair Powell, FX volatility shifted from the FOMC statement to the press conference. Compared with the Bernanke and Yellen eras, post-FOMC press conferences under Powell generated higher intraday FX volatility (Exhibit 1). while the statement elicited a more muted market response (Exhibit 2). This is consistent with both our rates strategists’ findings and the broader academic literature, which attribute the recent increase in market volatility around press conferences partly to differences between Chair Powell’s communication style and that of his predecessors. However, macroeconomic conditions and the policy choices they presented—including parameters like new innovations in forward guidance and QE program details released the FOMC statements—likely played an important role, in our view.