Over the past two decades, high-frequency interest rate changes around the Federal
Reserve's Federal Open Market Committee (FOMC) announcements, or monetary policy …

The methods of Gürkaynak et al.(2005a) are extended to separately identify surprise
changes in the federal funds rate, forward guidance, and large-scale asset purchases …

The VIX, the stock market option-based implied volatility, strongly co-moves with measures
of the monetary policy stance. When decomposing the VIX into two components, a proxy for …

Regressions of private-sector macroeconomic forecast revisions on monetary policy
surprises often produce coefficients with signs opposite to standard macroeconomic models …

We estimate the response of stock prices to monetary policy shocks using a time-varying
coefficients VAR. Our evidence points to protracted episodes in which stock prices end up …

The evidence suggests that monetary policy post 1988 became more forward-looking,
invalidating the identifying assumptions in conventional methods of measuring monetary …

High-frequency changes in interest rates around FOMC announcements are a standard
method of measuring monetary policy shocks. However, some recent studies have …

Notwithstanding the increased use of estimated dynamic stochastic general equilibrium
(DSGE) models over the last decade, structural vector autoregressive (VAR) models …

In this paper, we argue that monetary policy in the form of central bank communication can
shape long-term interest rates by changing risk premia. Using high-frequency movements of …

We show that firm liability structure and associated cash flows matter for firm behavior and
that financial market participants price stocks accordingly. Stock price reactions to monetary …