Macroeconomic announcement dates

• We share the macroeconomic announcement dates studied in Ai, Bansal, and Guo (2024), hoping they will serve as a useful resource for fellow researchers. 

• The announcements considered are: FOMC, Non-farm Payrolls, GDP, the Institute of Supply Management (ISM) PMI index, and Inflation. 

• This selection follows Ai and Bansal (2018), who focused on these announcements because they ranked among the top five by Bloomberg’s attention index at the time of their study. 

  • The only modification is that the inflation announcement is now defined as the earlier of the CPI or PPI release in a given month, rather than solely the PPI. 

  • This adjustment reflects the fact that CPI releases have frequently preceded PPI in recent years, whereas historically PPI was almost always announced first.

• An important caveat is that BLS-related announcements were not pre-scheduled prior to 1961. Consequently, for studies of tradable macroeconomic announcement premiums, the pre-1961 NFP and inflation announcement dates should NOT be used. 

• [To be verified] The Office of Business Economics (OBE) started to experiement with more regular scheduling of GDP announcements in 1961 and the formal pre-scheduling began in 1965. 

If you find any error in the data or have additional information (e.g., evidence on when GDP announcements became pre-scheduled), I’d appreciate an email to hoguo@hku.hk. Thank you!