Staff Reports
Announcement-Specific Decompositions of Unconventional Monetary Policy Shocks and Their Macroeconomic Effects
Number 891
June 2019 Revised October 2019

JEL classification: C32, C58, E44, E52, E58

Daniel J. Lewis

I propose to identify announcement-specific decompositions of asset price changes into monetary policy shocks using intraday time-varying volatility. This approach is the first to accommodate both changes in the nature of shocks and the state of the economy across announcements, allowing me to explicitly compare shocks across announcements. I compute decompositions with respect to fed funds, forward guidance, and asset purchase shocks for 2007-18. Only a handful of announcements spark significant shocks. Asset purchase shocks lower corporate borrowing costs; both asset purchases and forward guidance increase spreads. Asset purchase shocks have significant expansionary effects on inflation and GDP growth.

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Daniel J. Lewis
The author declares that he has no relevant or material financial interests that relate to the research described in this paper. Prior to circulation, this paper was reviewed in accordance with the Federal Reserve Bank of New York review policy, available at