Gürkaynak, Refet; Sack, Brian; Swanson, Eric - Federal Reserve Board (Board of Governors of the … - 2004
We investigate the effects of U.S. monetary policy on asset prices using a high-frequency event-study analysis. We test whether these effects are adequately captured by a single factor--changes in the federal funds rate target-and find that they are not. Instead, we find that two factors are...