dc.creator | Kroencke, Tim-Alexander | |
dc.creator | Schmeling, Maik | |
dc.creator | Schrimpf, Andreas | |
dc.date.accessioned | 2021-09-28T09:42:14Z | |
dc.date.available | 2021-09-28T09:42:14Z | |
dc.date.issued | 2021-01-27 | |
dc.identifier.uri | https://fif.hebis.de/xmlui/handle/123456789/2408 | |
dc.description.abstract | We identify a component of monetary policy news that is extracted from high-frequency changes in risky asset prices. These surprises, which we call “risk shifts”, are uncorrelated, and therefore complementary, to risk-free rate surprises. We show that (i) risk shifts capture the lion’s share of stock price movements around FOMC announcements,- (ii) that they are accompanied by significant investor fund flows, suggesting that investors react heterogeneously to monetary policy news,- and (iii) that price pressure amplifies the stock market response to monetary policy news. Our results imply that central bank information effects are overshadowed by short-term dynamics stemming from investor rebalancing activities and are likely to be more difficult to identify than previously thought. | |
dc.rights | Attribution-ShareAlike 4.0 International | |
dc.rights.uri | http://creativecommons.org/licenses/by-sa/4.0/ | |
dc.subject | Financial Markets | |
dc.title | The FOMC Risk Shift | |
dc.type | Working Paper | |
dcterms.references | https://fif.hebis.de/xmlui/handle/123456789/1363?CBOE | |
dcterms.references | https://fif.hebis.de/xmlui/handle/123456789/2077?CieslakSchrimpf_2019 | |
dcterms.references | https://fif.hebis.de/xmlui/handle/123456789/2078?RPNA | |
dcterms.references | https://fif.hebis.de/xmlui/handle/123456789/1371?CMA | |
dcterms.references | https://fif.hebis.de/xmlui/handle/123456789/2079?VIX | |
dcterms.references | https://fif.hebis.de/xmlui/handle/123456789/1354?Bloomberg | |
dcterms.references | https://fif.hebis.de/xmlui/handle/123456789/2074?WP302_FOMCdata_1 | |
dcterms.references | https://fif.hebis.de/xmlui/handle/123456789/2075?WP302_FOMCdata_2 | |
dcterms.references | https://fif.hebis.de/xmlui/handle/123456789/1508?TickData | |
dcterms.references | https://fif.hebis.de/xmlui/handle/123456789/1445?Kibot | |
dcterms.references | https://fif.hebis.de/xmlui/handle/123456789/2076?S&P500 | |
dcterms.references | https://fif.hebis.de/xmlui/handle/123456789/1512?TRTH | |
dcterms.references | https://fif.hebis.de/xmlui/handle/123456789/2080?Trimtabs | |
dcterms.references | https://fif.hebis.de/xmlui/handle/123456789/1384?Datastream | |
dcterms.references | https://fif.hebis.de/xmlui/handle/123456789/2081?GorodnichenkoWeber_2015 | |
dc.source.filename | 302_SSRN-id3774275 | |
dc.identifier.safeno | 302 | |
dc.subject.keywords | monetary policy surprises | |
dc.subject.keywords | equity premium | |
dc.subject.keywords | fund flows | |
dc.subject.keywords | portfolio rebalanc- ing | |
dc.subject.keywords | price pressures | |
dc.subject.jel | G10 | |
dc.subject.jel | G12 | |
dc.subject.jel | E44 | |
dc.subject.topic1 | bollerslev | |
dc.subject.topic1 | policy | |
dc.subject.topic1 | importantly | |
dc.subject.topic2 | asset | |
dc.subject.topic2 | indicative | |
dc.subject.topic2 | spread | |
dc.subject.topic3 | risk | |
dc.subject.topic3 | exposure | |
dc.subject.topic3 | light | |
dc.subject.topic1name | Consumption | |
dc.subject.topic2name | Financial Markets | |
dc.subject.topic3name | Saving and Borrowing | |
dc.identifier.doi | 10.2139/ssrn.3774275 | |