https://mpra.ub.uni-muenchen.de/id/eprint/820 2019-09-26T21:11:12Z info:eu-repo/semantics/descriptiveMetadata https://mpra.ub.uni-muenchen.de/820/ Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements Gurkaynak, Refet S Sack, Brian Swanson, Eric T G00 - General G0 - General We investigate the effects of U.S. monetary policy on asset prices using a high-frequency event-study analysis. We test whether these effects are adequately captured by a single factor-changes in the federal funds rate target - and find that they are not. Instead, we find that two factors are required. These factors have a structural interpretation as a "current federal funds rate target" factor and a "future path of policy" factor, with the latter closely associated with Federal Open Market Committee statements.We measure the effects of these two factors on bond yields and stock prices using a new intraday data set going back to 1990. According to our estimates, both monetary policy actions and statements have important but differing effects on asset prices, with statements having a much greater impact on longer-term Treasury yields. 2005-02-08 MPRA Paper NonPeerReviewed application/pdf en https://mpra.ub.uni-muenchen.de/820/1/MPRA_paper_820.pdf Gurkaynak, Refet S and Sack, Brian and Swanson, Eric T (2005): Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements. Published in: International Journal of Central Banking , Vol. Volume, No. Number 1 (13 June 2005): pp. 55-93. en info:eu-repo/semantics/objectFile info:eu-repo/semantics/humanStartPage