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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.

Announcement-Specific Decompositions of Unconventional Monetary Policy Shocks and Their Macroeconomic Effects