I develop a semi-automated method that systematically evaluates the information in FOMC meeting documents. This method highlights economic conditions and calculates document sentiment indices that proxy for the FOMC's interest rate tilt. I compare the sentiment indices of FOMC minutes and their corresponding FOMC statements. Using high-frequency data, I then examine how these sentiment indices are associated with the fed funds futures contracts, broad equity, and real estate investment trust indices, and exchange rate valuation of several major currencies against the U.S. Dollar. I find that minutes sentiments have a statistically significant association with the fed funds futures rate and the U.S. dollar's valuation.

我开发了一种半自动化的方法来系统地评估 FOMC 会议文件中的信息。该方法突出经济状况并计算代表 FOMC 利率倾斜的文件情绪指数。我比较了 FOMC 会议纪要及其相应的 FOMC 声明的情绪指数。然后，我使用高频数据研究了这些情绪指数如何与联邦基金期货合约、广泛股票和房地产投资信托指数以及几种主要货币对美元的汇率估值相关联。我发现会议记录情绪与联邦基金期货利率和美元估值在统计上具有显着关联。