The FOMC risk shift

Kroencke, Tim Alexander and Schmeling, Maik and Schrimpf, Andreas. (2017) The FOMC risk shift.

Full text not available from this repository.

Official URL: http://edoc.unibas.ch/58817/

Downloads: Statistics Overview


This paper presents new evidence on channels through which monetary policy affects prices in equity and other asset markets. A large part of U.S. equity price moves around FOMC meetings can be attributed to shocks that are uncorrelated with yield changes but closely linked to changes in investors' risk appetite. These price effects are mirrored by investors' portfolio rebalancing decisions, manifesting themselves via sizeable shifts in fund flows between bonds and equities. All these effects are transitory and largely reversed after about one month. We find evidence that risk appetite shocks are related to changes in uncertainty triggered by FOMC meetings.
Faculties and Departments:06 Faculty of Business and Economics > Departement Wirtschaftswissenschaften > Ehemalige Einheiten Wirtschaftswissenschaften > Corporate Finance (Kröncke)
UniBasel Contributors:Kröncke, Tim
Item Type:Working Paper
Publisher:Working Paper
Number of Pages:69
Note:Publication type according to Uni Basel Research Database: Discussion paper / Internet publication
Related URLs:
Last Modified:05 Apr 2018 14:56
Deposited On:05 Apr 2018 14:56

Repository Staff Only: item control page