This economically and statistically important difference is consistent with the view that FOMC statements have increased the sensitivity of financial markets to the payroll data. It is interesting that, although central bank talk may have increased sensitivity to certain data releases, overall financial market volatility has declined recently.
Federal Reserve communications policy has likely contributed to the fall in volatility by reducing the uncertainty surrounding the future course of policy. 7  We concentrated on changes in the funds rate that were surprises to financial markets, on the grounds that changes in the funds rate that were fully anticipated would already be priced into markets in advance of the FOMC’s action.