Auflistung LIF-SAFE Working Papers nach Autor "Schrimpf, Andreas"
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The FOMC Risk Shift
Kroencke, Tim-Alexander; Schmeling, Maik; Schrimpf, Andreas (2021-01-27)We identify a component of monetary policy news that is extracted from high-frequency changes in risky asset prices. These surprises, which we call “risk shifts”, are uncorrelated, and therefore complementary, to risk-free ...