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dc.creatorKroencke, Tim-Alexander
dc.creatorSchmeling, Maik
dc.creatorSchrimpf, Andreas
dc.date.accessioned2021-09-28T09:42:14Z
dc.date.available2021-09-28T09:42:14Z
dc.date.issued2021-01-27
dc.identifier.urihttps://fif.hebis.de/xmlui/handle/123456789/2408
dc.description.abstractWe 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.rightsAttribution-ShareAlike 4.0 International
dc.rights.urihttp://creativecommons.org/licenses/by-sa/4.0/
dc.subjectFinancial Markets
dc.titleThe FOMC Risk Shift
dc.typeWorking Paper
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/1363?CBOE
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/2077?CieslakSchrimpf_2019
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/2078?RPNA
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/1371?CMA
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/2079?VIX
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/1354?Bloomberg
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/2074?WP302_FOMCdata_1
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/2075?WP302_FOMCdata_2
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/1508?TickData
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/1445?Kibot
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/2076?S&P500
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/1512?TRTH
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/2080?Trimtabs
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/1384?Datastream
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/2081?GorodnichenkoWeber_2015
dc.source.filename302_SSRN-id3774275
dc.identifier.safeno302
dc.subject.keywordsmonetary policy surprises
dc.subject.keywordsequity premium
dc.subject.keywordsfund flows
dc.subject.keywordsportfolio rebalanc- ing
dc.subject.keywordsprice pressures
dc.subject.jelG10
dc.subject.jelG12
dc.subject.jelE44
dc.subject.topic1bollerslev
dc.subject.topic1policy
dc.subject.topic1importantly
dc.subject.topic2asset
dc.subject.topic2indicative
dc.subject.topic2spread
dc.subject.topic3risk
dc.subject.topic3exposure
dc.subject.topic3light
dc.subject.topic1nameConsumption
dc.subject.topic2nameFinancial Markets
dc.subject.topic3nameSaving and Borrowing
dc.identifier.doi10.2139/ssrn.3774275


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