| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w30210 |
| 来源ID | Working Paper 30210 |
| Fed Implied Market Prices and Risk Premia | |
| Charles W. Calomiris; Joanna Harris; Harry Mamaysky; Cristina Tessari | |
| 发表日期 | 2022-07-04 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | We introduce FDIF, a measure of Fed communication surprise based on the text of FOMC statements. FDIF measures the difference between text-implied and actual values of key market variables. Positive FDIF of countercyclical variables (e.g., credit spreads) is associated with negative macroeconomic forecast revisions; the opposite holds for procyclical variables. Industries that hedge bad FDIF news earn low returns on FOMC announcement days, but high returns on non-FOMC days. The opposite holds for FDIF-exposed industries, and the return differences are large. Controlling for FDIF exposure, rate-based policy surprise measures are not priced in the cross-section of industry returns. |
| 主题 | Macroeconomics ; Business Cycles ; Money and Interest Rates ; Monetary Policy ; Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w30210 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/587882 |
| 推荐引用方式 GB/T 7714 | Charles W. Calomiris,Joanna Harris,Harry Mamaysky,et al. Fed Implied Market Prices and Risk Premia. 2022. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w30210.pdf（666KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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