We show that U.S. corporate bond market movements during the days preceding FOMC announcements can predict monetary policy surprises, as well as the pre-FOMC stock market movements. Starting several days before an expansionary (contractionary) surprise in FOMC decisions, corporate bond prices...

The reaction of asset markets to the announcement of monetary policy measures is regarded as crucial for the transmission mechanism of monetary policy. I test whether the cross-sections of European equities and CDS show responses to monetary shocks which are in accordance with the goals behind...

This paper examines the effect of macroeconomic news announcements (MNA) on the stock market. Stocks exhibit a strong positive response to major MNA: 1 standard deviation of MNA surprise causes 11-25 bps higher returns. This response is highly time-varying and is weaker during periods of high...

In response to the COVID-19 pandemic, the US Federal Reserve almost doubled its balance sheet by adding $3 trillion of assets (13% of GDP) in the space of three months, constituting the most aggressive unconventional monetary policy on record. We show that these actions had a substantial effect...

We analyze empirical links between the perceived tail-risk of inflation, the policy rate, longer-term interest rates, and equity prices in the U.S. Their simultaneous changes enable us to distinguish between a systematic and "exogenous" response to monetary-policy news. And, those tail...

We construct monetary policy indicators from high-frequency asset price changes following policy announcements, emphasising the concentration of asset price responses along specific dimensions and their leptokurtic distribution. Traditionally, these dimensions are identified by rotating...

We quantify the importance of non-monetary news in central bank communication. Using evidence from four major central banks and a comprehensive classification of events, we decompose news conveyed by central banks into news about monetary policy, economic growth, and separately, shocks to risk...

In the aftermath of the financial crisis in 2008 and over the course of the European debt crisis, the ECB announced a number of unconventional monetary policy implementations with the aim of restoring confidence in the functioning of the European financial system. This paper studies the effect...

We examine whether monetary policy uncertainty influences the reaction of the equity, Treasury security, foreign exchange and crude oil markets, as well as medium-term interest rates, to U.S macroeconomic announcements. Using intraday futures data, we show that in the presence of higher policy...

I examine the effects of monetary policy surprises on asset prices around non-FOMC macroeconomic announcements that are directly relevant to the Fed's monetary policy decisions. While FOMC announcements are known to have similar effects during periods of conventional and unconventional monetary...