Finding Historical FOMC Dates for Event Backtests
Summary
The document describes where researchers can obtain historical dates for scheduled Federal Open Market Committee meetings. It points to Federal Reserve calendars for readily available meeting schedules and to the Fed's historical records for earlier years, which may take more effort to consult. One respondent describes maintaining a spreadsheet and updating it annually when new meeting information is released. The material offers a practical source-finding approach rather than a detailed data collection or validation procedure.
The discussion connects meeting dates to event studies through a cited paper on pre-announcement equity returns. Its abstract reports average excess returns in U.S. equities ahead of scheduled policy decisions, while finding no similar effect in Treasury securities or money-market futures. It also describes conditions associated with larger returns and notes challenges in explaining them. These results are presented as findings of the cited study, not as a guarantee that the pattern persists or can be traded profitably; the document gives no independent replication or backtest details.
Key ideas
- Federal Reserve calendars provide dates for scheduled FOMC meetings.
- Older meeting dates can be found in the Fed's historical records.
- A maintained spreadsheet is one practical way to keep an event calendar current.
- A cited study reports pre-announcement excess returns in U.S. equities and discusses limits to explaining the pattern.
Tags
Full text
# Where do quants get historical FOMC meetings events for backtesting? # Where do quants get historical FOMC meetings events for backtesting? Is there any usual/best practice to fetch historical fomc meetings events online? ## Answer by vonjd (score 6) https://quant.stackexchange.com/a/20789 You can find information about the meetings online here: http://www.federalreserve.gov/monetarypolicy/fomccalendars.htm As an example the following paper backtests certain effects supposedly connected with these meetings and whether they might be exploited: The Pre-FOMC Announcement Drift by David O. Lucca (Federal Reserve Banks - Federal Reserve Bank of New York) and Emanuel Moench (Deutsche Bundesbank), Journal of Finance, Forthcoming FRB of New York Staff Report No. 512, July 26, 2013 Abstract > We document large average excess returns on U.S. equities in anticipation of monetary policy decisions made at scheduled meetings of the Federal Open Market Committee (FOMC) in the past few decades. These pre-FOMC returns have increased over time and account for sizable fractions of total annual realized stock returns. While other major international equity indices experienced similar pre-FOMC returns, we find no such effect in U.S. Treasury securities and money market futures. Other major U.S. macroeconomic news announcements also do not give rise to pre-announcement excess equity returns. Pre-FOMC returns are higher in periods when the slope of the Treasury yield curve is low, implied equity market volatility is high, and when past pre-FOMC returns have been high. We discuss challenges at explaining these returns with standard asset pricing theory. The following chart is taken from the paper: ## Answer by Alex C (score 2) https://quant.stackexchange.com/a/20815 The Fed website has all this information. The period 2010 to 2016 is very conveniently laid out here http://www.federalreserve.gov/monetarypolicy/fomccalendars.htm [as already noted by vonjd], and meetings from earlier years can be looked up more laboriously here http://www.federalreserve.gov/monetarypolicy/fomc_historical.htm . I made my own spreadsheet and I just update it once a year when the Fed posts new information.
Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.