vtasca / fed-statement-scraping

This repository automatically scrapes the FOMC meeting statements & minutes - tracking US monetary policy changes through time.

FOMC Meeting Statements & Minutes

This repository automatically scrapes and aggregates the Federal Reserve FOMC meeting statements and minutes - creating a dataset that enables tracking US monetary policy changes through time.

It works by polling the website of the U.S. Federal Reserve on a periodic basis and scraping the new statements and minutes as they become available. The scraper runs in a scheduled GitHub Actions workflow, which is available here.

The dataset begins in the year 2000 and the textual data is presented as it is found on the website of the Federal Reserve.

Usage

The updated dataset is located in this repository at communications.csv. If found, new data is added on a weekly basis on Monday mornings.

Data description

• Date - Date of the FOMC meeting.
• Release Date - Release date of the statement/minutes. Note that minutes are usually released with a ~3 week lag from the meeting date.
• Type - Communication type, either a statement or minutes.
• Text - The text content of each communication release.

Availability

This dataset is also available on Kaggle, together with related Jupyter notebooks.

Related research

Monetary policy decisions shown in the FOMC meeting statements have been analyzed at length in academic research and found to have immediate effects on the volatility and direction of equity index prices¹ and interest rates².

Background information

The Federal Open Market Committee (FOMC) meets eight times during the year to make decisions regarding the implementation of monetary policy, with the aim of achieving the Federal Reserve's dual mandate: promoting maximum employment and maintaining stable prices (controlling inflation).

The FOMC meeting statement document is one of the main formal communication documents used by the Fed, and contains information about key interest rate decisions, an assessment of the economic outlook, a view on inflation as well as forward guidance. This information helps businesses, investors and the general public take monetary policy into account and make more informed economic decisions.

Footnotes

1. Rosa, C. (2011). Words that shake traders: The stock market's reaction to central bank communication in real time. Journal of Empirical Finance, 18(5), 915-934. ↩

2. Gürkaynak, R. S., Sack, B., & Swanson, E. (2005). The sensitivity of long-term interest rates to economic news: Evidence and implications for macroeconomic models. American economic review, 95(1), 425-436. ↩