Arbeitspapier
The FOMC risk shift
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: SAFE Working Paper ; No. 302
- Klassifikation
-
Wirtschaft
General Financial Markets: General (includes Measurement and Data)
Asset Pricing; Trading Volume; Bond Interest Rates
Financial Markets and the Macroeconomy
- Thema
-
Monetary Policy Surprises
Equity Premium
Fund Flows
Portfolio Rebalancing
Price Pressures
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kroencke, Tim-Alexander
Schmeling, Maik
Schrimpf, Andreas
- Ereignis
-
Veröffentlichung
- (wer)
-
Leibniz Institute for Financial Research SAFE
- (wo)
-
Frankfurt a. M.
- (wann)
-
2021
- DOI
-
doi:10.2139/ssrn.3774275
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Kroencke, Tim-Alexander
- Schmeling, Maik
- Schrimpf, Andreas
- Leibniz Institute for Financial Research SAFE
Entstanden
- 2021
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