-announcement times. We use a heteroskedasticity-based procedure to estimate a "Fed non-yield shock", which is orthogonal to yield changes … and is identified from excess volatility in the S&P 500 and various dollar exchange rates. A positive non-yield shock …-yield shock is essentially uncorrelated with previous monetary policy shocks and its effects are large in comparison. Its strong …

policy shock is ambiguous in both the short- and long-run, and depends on the nature of the mispricing. Subsequently, we … contractionary monetary policy shock in fact lowers stock prices beyond what is implied by the response of their underlying …

-run and long-run restrictions that maintains the qualitative properties of a monetary policy shock found in the established … fall by 1.5 per cent due to a monetary policy shock that raises the federal funds rate by ten basis points. A stock price … shock increasing stock prices by one per cent leads to an increase in the interest rate of five basis points. Stock price …