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.
Verfasserangaben: | Tim-Alexander Kroencke, Maik SchmelingORCiDGND, Andreas Schrimpf |
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URN: | urn:nbn:de:hebis:30:3-573940 |
DOI: | https://doi.org/10.2139/ssrn.3774275 |
Titel des übergeordneten Werkes (Englisch): | SAFE working paper ; No. 302 |
Schriftenreihe (Bandnummer): | SAFE working paper (302) |
Verlag: | SAFE |
Verlagsort: | Frankfurt am Main |
Dokumentart: | Arbeitspapier |
Sprache: | Englisch |
Jahr der Fertigstellung: | 2021 |
Jahr der Erstveröffentlichung: | 2021 |
Veröffentlichende Institution: | Universitätsbibliothek Johann Christian Senckenberg |
Datum der Freischaltung: | 09.02.2021 |
Freies Schlagwort / Tag: | Equity Premium; Fund Flows; Monetary Policy Surprises; Portfolio Rebalancing; Price Pressures |
Ausgabe / Heft: | This version: January 25, 2021 |
Seitenzahl: | 89 |
Institute: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
Wissenschaftliche Zentren und koordinierte Programme / House of Finance (HoF) | |
Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) | |
Wissenschaftliche Zentren und koordinierte Programme / Sustainable Architecture for Finance in Europe (SAFE) | |
DDC-Klassifikation: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
Sammlungen: | Universitätspublikationen |
Lizenz (Deutsch): | ![]() |