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Persistent link: https://www.econbiz.de/10010509601
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...
Persistent link: https://www.econbiz.de/10012853435
Persistent link: https://www.econbiz.de/10012197790
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...
Persistent link: https://www.econbiz.de/10012424574
Persistent link: https://www.econbiz.de/10012603837