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  -