Quantitative Global Macro Strategy: Intraday FOMC: Will the Fed take a hike?

Research evidence excerpt

Quantitative Global Macro Strategy: Intraday FOMC: Will the Fed take a hike?

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28 Jul 2026 11:06:14 ET │ 14 pages

Quantitative Global Macro Strategy

Intraday FOMC: Will the Fed take a hike?

CITI'S TAKE

Michael Alexeev

Capturing risk premium on FOMC day has historically been positive for risky +1-212-816-1167

assets, with large and small cap equities both outperforming average one- michael.alexeev@citi.com

day returns. The last few meetings have been disappointing, however, with

May’s meeting following the historical pattern of establishing new-chair Alex Saunders AC

hawkish credentials. With markets pricing a 30% chance of a hike in +1-212-723-1058

tomorrow’s meeting, an upset via continued pause could again be a boon alexander.saunders@citi.com

for stock indices. Below we analyze how macro assets perform intraday, and

if we see momentum or mean-reversion following positive or negative initial

reactions. Our US economics team is expecting a pause tomorrow, with two

cuts towards the end of the year and one more cut in the beginning of 2027.

Equities — Equities typically have a positive intraday reaction to the FOMC

statement but reverse, once the press conference begins, to a -10bps at close. Even

an initially positive reaction (measured by reaction in the first 5 minutes after

statement release) reverses in a similar pattern.

Rates — Treasuries typically have a quick reaction to statement release, and that

knee-jerk reaction tends to be the extreme for the rest of day. On both a positive and

negative initial reaction, Treasuries are mean-reverting into market close.

Currencies — EURUSD typically prices in the press release statement quickly and

does not exhibit mean reversion into close, unlike what we see in equities and rates.