Discussion Paper
Macroeconomic News and Stock Prices Over the FOMC Cycle
McCoy, Jack; Modugno, Michele; Palazzo, Berardino; Sharpe, Steven A. (2020-10-14)
We develop novel macroeconomic surprise indices to identify the impact of macroeconomic releases on aggregate stock market returns over the FOMC cycle. We find that the aggregate stock prices are positively correlated with our real economic activity news index and negatively correlated with our price news index.
FEDS Notes , Paper 2020-10-14-1

Discussion Paper
Interest Coverage Ratios: Assessing Vulnerabilities in Nonfinancial Corporate Credit
McCoy, Jack; Palomino, Francisco J.; Pérez-Orive, Ander; Press, Charles; Sanz-Maldonado, Gerardo (2020-12-03)
This note examines whether the ability of nonfinancial corporations to meet their interest expenses out of earnings is a vulnerability for financial stability under current economic conditions. We measure this ability using the interest coverage ratio (ICR)—the ratio of earnings before interest and taxes relative to interest expenses—and project this ratio under different scenarios.
FEDS Notes , Paper 2020-12-03-1