Financial markets and financial intermediation may be competing mechanisms in the provision of liquidity insurance and their co-existence may adversely impact risk-sharing. The question studied here is what is the optimal central bank policy when there is private information about liquidity...

We identify a novel dimension of monetary policy from high-frequency changes in asset prices around ECB policy events, orthogonal to surprises extracted from risk-free interest rates. We find that it is present in policy events that were interpreted by real-time market commentaries as containing...

Monetary policy shocks that convey new macroeconomic information are significant predictors of both the absolute and risk-adjusted returns from value investing. Positive Fed information shocks lead to higher subsequent value returns. Crashes in the returns of value investing are most likely to...