Gürkaynak, Refet; Sack, Brian; Swanson, Eric - Federal Reserve Board (Board of Governors of the … - 2004
We investigate the effects of U.S. monetary policy on asset prices using a high-frequency event-study analysis. We test … statements. We measure the effects of these two factors on bond yields and stock prices using a new intraday dataset going back … asset prices, with statements having a much greater impact on longer-term Treasury yields. …