2025/10/03 by Jaeho Choi, Jaewon Kim, Choi, Jaeho +7 · 1 voice
Economics, Econometrics and Finance · #Banking stability, regulation, efficiency #Complex Systems and Time Series Analysis #FOS: Economics and business #General Economics (econ.GN) #Market Dynamics and Volatility #econ.GN
paper · pdf · doi:10.48550/arxiv.2510.02705
openalex publication_date 2025/10/03 · arxiv published 2025/10/03 · arxiv updated 2025/10/03 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
This study examines the relationship between Federal Open Market Committee (FOMC) announcements and financial market network structure through spectral graph theory. Using hypergraph networks constructed from S&P 100 stocks around FOMC announcement dates (2011--2024), we employ the Fiedler value -- the second eigenvalue of the hypergraph Laplacian -- to measure changes in market connectivity and systemic stability. Our event study methodology reveals that FOMC announcements significantly alter network structure across multiple time horizons. Analysis of policy tone, classified using natural language processing, reveals heterogeneous effects: hawkish announcements induce network fragmentation at short horizons (k=6) followed by reconsolidation at medium horizons (k=14), while neutral statements show limited immediate impact but exhibit delayed fragmentation. These findings suggest that monetary policy communication affects market architecture through a network structural transmission, with effects varying by announcement timing and policy stance.