TY - GEN N1 - This version is the author accepted manuscript. For information on re-use, please refer to the publisher?s terms and conditions. A1 - Lewis, Daniel PB - Federal Reserve Bank of New York KW - high-frequency identification KW - time-varying volatility KW - monetary policy shocks KW - forward guidance KW - quantitative easing SN - 1556-5068 Y1 - 2019/// TI - Announcement-Specific Decompositions of Unconventional Monetary Policy Shocks and Their Macroeconomic Effects CY - New York, NY, USA AV - restricted N2 - I propose to identify announcement-specific decompositions of asset price changes into monetary policy shocks exploiting heteroskedasticity in intraday data, accommodating both changes in the nature of shocks and the state of the economy across announcements. I compute decompositions with respect to Fed Funds, forward guidance, asset purchase, and Fed information shocks from 1996 to 2019. The decompositions illustrate which announcements of unconventional policy measures had significant effects during the Great Recession. Overall, forward guidance and asset purchases have significant effects on yields, spreads, equities, and uncertainty, but the effects of monetary policy vary over time, particularly asset purchases. UR - https://www.newyorkfed.org/research/staff_reports/sr891.html ID - discovery10160488 EP - 76 T3 - Federal Reserve Bank of New York Research Paper Series ER -