Staff Reports
Announcement-Specific Decompositions of Unconventional Monetary Policy Shocks and Their Macroeconomic Effects
Number 891
June 2019 Revised July 2022

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 exploiting heteroskedasticity in intraday data, accommodating both changes in the nature of shocks and the state of the economy across announcements. I compute decompositions with respect to fed funds, forward guidance, asset purchase, and Fed information shocks from 1996 to 2019. The decompositions illustrate which announcements of unconventional policy measures had significant effects during the Great Recession. Forward guidance and asset purchases have significant effects on yields, spreads, equities, and uncertainty. Positive shocks to all dimensions of monetary policy trigger macroeconomic contractions, while information shocks telegraph expansions.

Available only in PDF
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

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