monetary policy shock across different countries, maturities, yield components and over time. The results identify a significant … liquidity. When we decompose the impact into separate yield components, we find that unconventional shocks decreased the common …

counterfactual stock market index price change that results purely from the change in the default-free yield curve induced by the … monetary policy surprise. The yield curve change in turn partly reflects a change in expected future short-term interest rates …/odd week FOMC cycle in stock index returns is also largely due to an FOMC cycle in the yield curve rather than the equity …