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policy shock as a surprise change in the fed funds rate is misspecified. The primary news for market participants is not what …
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restrictions on stock market changes around the announcement to separate structural monetary policy shock from central bank …
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This working paper evaluates the economic sources of the stock market responses of 40 countries to surprises in the fed funds rate (FFR), the Fed's forward guidance (FG) and large-scale asset purchases (LSAP). We decompose stock market returns into different components reflecting investors'...
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approach, combined with Fama-MacBeth style cross-section regressions, to identify a US monetary policy shock series that …
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