The FOMC Risk Shift
成果类型：
Article
署名作者：
Kroencke, Tim A.; Schmeling, Maik; Schrimpf, Andreas
署名单位：
University of Neuchatel; Goethe University Frankfurt
刊物名称：
JOURNAL OF MONETARY ECONOMICS
ISSN/ISSBN：
0304-3932
DOI：
10.1016/j.jmoneco.2021.02.003
发表日期：
2021
页码：
21-39
关键词：
摘要：
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. (C) 2021 Elsevier B.V. All rights reserved.
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