St. Louis Fed, Report: Mind Your Language, Market Responses to Central Bank Speeches

“Our results indicate that news signals derived from central bank speeches can help explain volatility and tail risk in both equity and bond markets. Speech-implied news seem to carry information to which markets react – particularly in abnormal GDP and inflation regimes. We find no evidence that speeches resolve uncertainty. These findings underpin the importance of analysing the continuous flow of central bank communication with markets such as through FOMC member speeches.”