Overview
Every month, the Federal Reserve, Bureau of Labor Statistics, and Bureau of Economic Analysis release scheduled announcements that move markets. The question is how much, and whether the reaction depends on how uncertain the market already is.
I estimated the effect of FOMC decisions, nonfarm payroll releases, GDP prints, and CPI reports on daily S&P 500 returns using OLS with robust standard errors. To test whether markets react more sharply during uncertain times, I added VIX interaction terms that allow the announcement effect to vary with the level of volatility on the prior trading day.
Fed announcements are associated with a 0.19% increase in daily returns on announcement days (p < 0.01), and that effect gets larger when the VIX is elevated. Employment reports show a smaller but still significant positive effect, while GDP and CPI releases produce more mixed results depending on the sample period and volatility regime.