Announcement-Specific Decompositions of Unconventional Monetary Policy Shocks and Their Effects

• 成果类型: Article
• 署名作者: Lewis, Daniel J.
• 署名单位: University of London; University College London
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/rest_a_01315
• 发表日期: 2025-07
• 页码: 1086-1103
• 关键词: interest-rates; stochastic volatility; federal-reserve; identification; inference; surprises

摘要

I propose to identify announcement-specific decompositions of asset price changes into monetary policy shocks exploiting heteroskedasticity in intraday data, accommodating both changes in the nature of shocks and the state of the economy across announcements. I compute decompositions with respect to Fed Funds, forward guidance, asset purchase, and Fed information shocks from January 1996 to December 2019. The decompositions illustrate which announcements of unconventional policy measures had significant effects during the Great Recession. Overall, forward guidance and asset purchases have significant effects on yields, spreads, equities, and uncertainty, but the effects of monetary policy vary over time, particularly asset purchases.