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{\LARGE \textbf{Returns and Volatility Around FOMC Announcements:}}\\[0.4cm]
{\LARGE \textbf{A High-Frequency Analysis of Policy Tone and Novelty}}\\[1.5cm]

{\large Simon-Pierre Boucher\footnotemark[1] \qquad Marie-H\'el\`ene Gagnon\footnotemark[2] \qquad Gabriel J. Power\footnotemark[3]}\\[1cm]

{\large 2026-03-06}\\[1cm]

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\footnotetext[1]{PhD student in finance, Universit\'e Laval, Quebec City QC Canada G1V 0A6, email: simon-pierre.boucher.1@ulaval.ca}
\footnotetext[2]{Professor of Finance and Research Fellow, CRREP, Universit\'e Laval, email: marie-helene.gagnon@fsa.ulaval.ca}
\footnotetext[3]{IG Wealth Management Chairholder, Professor of Finance and Research Fellow, CRREP and CRIB, Universit\'e Laval, email: gabriel.power@fsa.ulaval.ca}

\begin{abstract}
\noindent We decompose FOMC statements into policy tone (hawkish/dovish) and informational novelty (departure from previous messaging) and estimate their effects on high-frequency asset returns and volatility. Using 1-minute data for 7 futures contracts across 148 FOMC events (2008--2025), we find that tone predicts directional returns (a one-standard-deviation dovish shift is associated with equity gains that build to about 12 basis points within two hours) while novelty predicts volatility changes (the stance--novelty interaction on VIX persists from 5 to 120 minutes, $t = -5.06$). Policy stance is associated with realized volatility changes in 6 of 7 contracts ($p < 0.01$). Pre-announcement placebo tests and five independent inference methods validate these results. To construct our measures, we train a dual-model ensemble (MiniLM and BERT) on FOMC communications with data-driven PCA-based reference selection.
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\noindent \textbf{JEL Classification:} E52, E58, G12, G14

\noindent \textbf{Keywords:} Monetary policy, FOMC announcements, high-frequency data, textual analysis, market volatility

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