TY  - UNPD
A1  - Kroencke, Tim-Alexander
A1  - Schmeling, Maik
A1  - Schrimpf, Andreas
T1  - The FOMC risk shift
T2  - SAFE working paper ; No. 302
N2  - 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.
T3  - SAFE working paper - 302 
KW  - Monetary Policy Surprises
KW  - Equity Premium
KW  - Fund Flows
KW  - Portfolio Rebalancing
KW  - Price Pressures
Y1  - 2021
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/57394
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-573940
IS  - This version: January 25, 2021
PB  - SAFE
CY  - Frankfurt am Main
ER  -