Kroencke, Tim-Alexander; Schmeling, Maik; Schrimpf, Andreas - 2021 - This version: January 25, 2021
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...
