Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/311160 
Year of Publication: 
2024
Series/Report no.: 
ECB Working Paper No. 2994
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
Abstract: 
We construct monetary policy indicators from high-frequency asset price changes following policy announcements, emphasising the concentration of asset price responses along specific dimensions and their leptokurtic distribution. Traditionally, these dimensions are identified by rotating principal components based on economic assumptions that overlook information in excess kurtosis. We employ Varimax rotation, leveraging excess kurtosis without using economic restrictions. Within a set of euro-area risk-free assets Varimax validates policy news along dimensions previously derived from structural identification approaches and rejects evidence of macroinformation shocks. Yet, once adding risky assets Varimax identifies only one risk-free factor in medium- to long-term yields and instead points to additional risk-shift factors.
Subjects: 
Monetary policy instruments
Varimax
fat tails
event study
high-frequency identification
JEL: 
E43
E52
E58
C46
G14
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-6892-8
Document Type: 
Working Paper

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