TY  - BOOK
AU  - Calomiris,Charles W.
AU  - Harris,Joanna
AU  - Mamaysky,Harry
AU  - Tessari,Cristina
ED  - National Bureau of Economic Research.
TI  - Fed Implied Market Prices and Risk Premia
T2  - NBER working paper series
PY  - 2022///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
KW  - Business Fluctuations • Cycles
KW  - jelc
KW  - Financial Markets and the Macroeconomy
KW  - Monetary Policy
KW  - General Financial Markets
KW  - Asset Pricing • Trading Volume • Bond Interest Rates
N1  - July 2022; Hardcopy version available to institutional subscribers
N2  - We introduce FDIF, a measure of Fed communication surprise based on the text of FOMC statements. FDIF measures the difference between text-implied and actual values of key market variables. Positive FDIF of countercyclical variables (e.g., credit spreads) is associated with negative macroeconomic forecast revisions; the opposite holds for procyclical variables. Industries that hedge bad FDIF news earn low returns on FOMC announcement days, but high returns on non-FOMC days. The opposite holds for FDIF-exposed industries, and the return differences are large. Controlling for FDIF exposure, rate-based policy surprise measures are not priced in the cross-section of industry returns
UR  - https://www.nber.org/papers/w30210
UR  - http://dx.doi.org/10.3386/w30210
ER  -