The Market Impact of FOMC Meetings Part 1

[WITH CODE] Analyzing the impact of FOMC meetings on returns and volatility across asset classes

Reviewed and updated 22 July 2026

Hello!

Welcome back to another market investigation. Today, we’ll explore the relationship between FOMC meetings and the performance and volatility of different asset classes.

In my Calendar Anomalies series, we observed that FOMC meeting days were associated with unusually high returns in U.S. equities. In this post, I take that anomaly a step further, investigating its consistency and presence across other markets.

Let’s get into it.

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Introduction

We begin with U.S. equities, examining the behavior of both the S&P 500 and the VIX around FOMC meetings using daily data.

Some of this may sound familiar. In my Calendar Anomalies: Part 2 post, I briefly explored the effect of FOMC meetings on the S&P 500. That investigation found unusually high average returns around FOMC meetings. Here, I revisit the comparison with a corrected announcement calendar and place every strategy on the same daily return calendar.

Among the calendar effects I tested, the FOMC meeting-day pattern was one of the most economically interesting. The estimates remain directionally positive, but the statistical uncertainty is substantial.

This new analysis builds on that foundation with a deeper dive. While this post focuses solely on U.S. equities, future posts will extend the framework to other asset classes such as FX, commodities, and U.S. rates.

One methodological difference from my earlier post is worth highlighting. While FOMC meetings typically span two days, the Fed announces its decision at the end of the second day. In this analysis, the “FOMC Meeting Day” label refers only to the announcement day, which is the date the decision is actually released. In contrast, my earlier post grouped both meeting days together. In the daily sample, average returns are similar on the trading day before the announcement and on the announcement day, so the two days should not be treated as sharply different effects.

Finally, I want to acknowledge the requests from paid subscribers. Several of you asked for deeper content on calendar effects, macro-driven strategies, and commodities. This post is part of that ongoing effort to combine academic insight with systematic exploration. The research companion is available near the end of the article.

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Findings from Academia

There are many academic research papers that have examined the effect of FOMC meetings on various asset classes and their characteristics. Many of these findings are statistically significant and important. Below, I have summarized some findings from papers.

Research consistently shows that FOMC meetings are among the most influential scheduled macroeconomic events for financial markets. Notably, a phenomenon known as the pre-FOMC announcement drift has been widely documented. In their influential paper, Lucca and Moench (2015) showed that a disproportionate share of equity returns accrues in the 24 hours preceding scheduled FOMC announcements. Subsequent studies have extended this analysis to include volatility indices and international markets.

In a recent paper, Ignatieva and Ohashi (published online in 2024) examine this drift using both the S&P 500 and the VIX. They find that while equity returns around FOMC events are now shorter-lived than before, the VIX continues to exhibit a persistent decline leading up to and following announcements, indicating a strong resolution of uncertainty effect. Importantly, their work highlights that VIX patterns are often more consistent than equity returns, and they propose a trading strategy based on these dynamics.

Another stream of literature has focused on the market impact of FOMC minutes. Rosa (2013) and others have found that minutes, released three weeks after the meetings, still lead to significant intraday volatility across equities, Treasury bonds, and FX markets. The effect is especially strong in fixed-income markets, confirming that minutes contain market-relevant information, even if no policy change occurs.

In addition, recent research has explored the role of FOMC communication surprises. Studies show that the tone and language in statements, minutes, and press conferences can meaningfully shift investor expectations. Communication tools have become critical instruments of policy, especially when rates are at the zero-lower bound. The enhanced transparency and predictability of the Fed’s messaging have reshaped how markets respond to monetary policy news.

Finally, academic work has extended to measure asset class-specific sensitivities. For example, the euro and yen exhibit some of the strongest FX reactions to FOMC minutes, with trading volumes spiking up to tenfold during release windows. While S&P 500 trading activity also increases, the bulk of the response tends to occur after the minutes are released, consistent with the “calm-before-the-storm” hypothesis​.

Taken together, these papers reinforce the notion that FOMC meetings—and even their associated minutes—play an outsized role in shaping asset prices, risk perceptions, and volatility. The evidence justifies why both discretionary and systematic investors may want to closely monitor FOMC calendars and price action around these events.