Estimating the Fed’s unconventional policy shocks

Marek Jarociński

Journal of Monetary Economics, 2024, vol. 144, issue C

Abstract: Financial market responses to Fed monetary policy announcements are often very small, but sometimes very large and the mix of news contained in these announcements varies over time. I exploit these features of the data to estimate different types of Fed policy shocks. The resulting shocks can be naturally labeled as standard monetary policy, Odyssean forward guidance, large scale asset purchases and Delphic forward guidance. They affect risk-free interest rates, stock prices and the dollar on impact and have delayed but pronounced effects on corporate bond spreads and breakeven inflation rates.

Keywords: High-frequency identification; Non-Gaussianity; Fat tails; Forward guidance; Asset purchases (search for similar items in EconPapers)
JEL-codes: E44 E52 E58 (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (1)

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Related works:
Working Paper: Estimating the Fed’s Unconventional Policy Shocks (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:moneco:v:144:y:2024:i:c:s0304393224000011

DOI: 10.1016/j.jmoneco.2024.01.001

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