In this paper, I use high-frequency financial market estimates to identify the monetary policy shock in a non …

's effect on fundamentals. The estimation results from a bivariate VAR-GARCH model suggest that the Fed does not respond to the …

's effect on fundamentals. The estimation results from a bivariate VAR-GARCH model suggest that the Fed does not respond to the …

these news components. The authors propose an alternative MP shock identification approach to analyze the MP effects on the …

prices, production, and inflation during 2011-2014. In contrast, the economic outlook has little importance for the …

We analyze empirical links between the perceived tail-risk of inflation, the policy rate, longer-term interest rates … economic outlook rather than with the response to an exogenous shock; (iv) the few notable instances of the latter response are … always in reaction to Fed announcements; and, (v) our impulse responses demonstrate that odds of extreme inflation outcomes …

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 …