Updated 12/11/2025
This data series is part of the Center for Monetary Research.
The U.S. Monetary Policy Event-Study Database (USMPD) collects high-frequency changes of interest rates and asset prices around Federal Open Market Committee (FOMC) communication events. It contains data on a wide range of instruments, including money market futures, OIS rates, Treasury and TIPS yields, U.S. stock market indexes, and U.S. dollar exchange rates. The changes and returns are based on high-frequency market data and calculated over intraday windows covering four different types of FOMC communication events:
- Statements: 30-minute windows around the release of the statement following the FOMC meeting
- Press conferences: 70-minute windows covering the Chair’s post-meeting press conference
- Monetary events: event windows covering both the statement release and the press conference
- Minutes: 30-minute windows around the release of the FOMC meeting minutes
For each of these events, the USMPD contains the market data for all financial instruments, plus time stamps and indicators with additional information (for example, whether a meeting was followed by a release of the Summary of Economic Projections). The details of the construction are described in Acosta et al. (2025). The data are updated regularly. The main data source is LSEG Tick History.
High-frequency monetary policy surprises can be constructed from the data in the USMPD in different ways. This page also includes R code for the construction of such policy surprises using the methodology of Acosta et al. (2025), which uses the first principal component of rate changes for money market futures covering approximately a one-year horizon (see also Nakamura and Steinsson 2018). These surprises summarize changes in the average expected policy rate path over that horizon from rate decisions, communication, and other policy actions of the Committee. The USMPD includes all the necessary data to calculate other commonly used measures of monetary policy surprises, such as those of Gürkaynak, Sack, and Swanson (2005), Jarociński and Karadi (2020), and Miranda-Agrippino and Ricco (2021).
The two figures below illustrate the content of the USMPD and the derived monetary policy surprises, focusing on the communication events on days with FOMC meetings. Figure 1 shows the changes in selected interest rates for the most recent FOMC meeting in the database. Figure 2 plots the time series, starting in 2020, of the three monetary policy surprises constructed from these rate changes.
References
Acosta, Miguel, Andrea Ajello, Michael Bauer, Francesca Loria, and Silvia Miranda-Agrippino. 2025. “Financial Market Effects of FOMC Communication: Evidence from a New Event-Study Database.” Federal Reserve Bank of San Francisco Working Paper 2025-30.
Gürkaynak, Refet, Brian Sack, and Eric Swanson. 2005. “Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements.” International Journal of Central Banking 1 (1, May).
Jarociński, Marek, and Peter Karadi. 2020. “Deconstructing Monetary Policy Surprises—The Role of Information Shocks.” American Economic Journal: Macroeconomics 12(2, April), pp. 1-43.
Miranda-Agrippino, Silvia, and Giovanni Ricco. 2021. “The Transmission of Monetary Policy Shocks.” American Economic Journal: Macroeconomics 13(3, July), pp. 74-107.
Nakamura, Emi, and Jón Steinsson. 2018. “High-Frequency Identification of Monetary Non-Neutrality: The Information Effect.” The Quarterly Journal of Economics 133(3, August), pp. 1,283-1,330.
Download Data
Data for USMPD (Excel file, 190 kb)
Monetary Policy Surprises (ZIP file, 73 kb)