Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/246162 
Year of Publication: 
2021
Series/Report no.: 
ECB Working Paper No. 2585
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
Abstract: 
Fed's monetary policy announcements convey a mix of news about different kinds of conventional and unconventional policies and about the economy. Financial market responses to these announcements are very leptokurtic: often tiny, but sometimes large. I estimate the underlying structural shocks exploiting this feature of the data. I find standard monetary policy, Odyssean forward guidance, large scale asset purchases and Delphic forward guidance, and estimate their effects.
Subjects: 
High-frequency identification
Non-Gaussianity
Excess kurtosis
Forward guidance
Asset purchases
JEL: 
E52
E58
E44
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-4808-1
Document Type: 
Working Paper

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