Gurkaynak, Refet S; Sack, Brian; Swanson, Eric T - Volkswirtschaftliche Fakultät, … - 2005
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...