The FOMC Risk Shift
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DOI: 10.1016/j.jmoneco.2021.02.003
Abstract: Abstract 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.… read more here.
Keywords: fomc risk; monetary policy; risk; policy news ... See more keywords