| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14037 |
| DP14037 The FOMC Risk Shift | |
| Maik Schmeling; Paul Schrimpf; Tim Kroencke | |
| 发表日期 | 2019-10-06 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | A large share of stock returns around FOMC meetings is driven by shocks that are uncorrelated with news about risk-free rates but seem closely related to changes in investors' perception of risk. These "FOMC risk shifts" can only partly be traced to fundamental news. However, FOMC risk shifts are accompanied by sizeable shifts in fund flows reminiscent of "risk on/off" modes and strong price pressure, which accounts for up to half of returns. Our results highlight the role of investor heterogeneity as an important factor to understanding the short-term dynamics of stock returns in response to monetary policy news. |
| 主题 | Financial Economics ; International Macroeconomics and Finance ; Monetary Economics and Fluctuations |
| 关键词 | Monetary policy surprises Equity premium Fund flows Portfolio rebalancing Price pressure |
| URL | https://cepr.org/publications/dp14037 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/542925 |
| 推荐引用方式 GB/T 7714 | Maik Schmeling,Paul Schrimpf,Tim Kroencke. DP14037 The FOMC Risk Shift. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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