estimate exposures to interest rate risk at the sector level and for individual funds within the same sector. We focus on non … tend to use derivatives to amplify bond market exposures to interest rate risk, rather than to hedge them. Moreover … rate risk via derivatives, consistent with the risk-taking channel of monetary policy …

from low yielding cash assets following an expansionary shock. While higher risk-taking is an intended consequence of … expansionary monetary policy, this dynamic may give rise to a build-up in liquidity risk over time, leaving the fund sector less …

. 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 stock price movements around FOMC announcements; (ii) that they are …