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• W2114597179 abstract "We investigate the effects of U.S. monetary policy on asset prices using a high-frequency event-study analysis. We test whether these effects are adequately captured by a single factor--changes in the federal funds rate target-and find that they are not. Instead, we find that two factors are required. These factors have a structural interpretation as a current federal funds rate target factor and a future path of policy factor, with the latter closely associated with FOMC statements. We measure the effects of these two factors on bond yields and stock prices using a new intraday dataset going back to 1990. According to our estimates, both monetary policy actions and statements have important but differing effects on asset prices, with statements having a much greater impact on longer-term Treasury yields." @default.
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• W2114597179 date "2004-01-01" @default.
• W2114597179 modified "2023-10-05" @default.
• W2114597179 title "Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements" @default.
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• W2114597179 doi "https://doi.org/10.17016/feds.2004.66" @default.
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