Testing the Dimensionality of Policy Shocks
提出一种非参数检验方法，通过高频数据估计资产收益协方差矩阵的跳跃来判定政策冲击的维度，发现美联储货币政策冲击在金融危机前为一维，之后因非常规工具而维度增加。
Abstract This paper provides a nonparametric test for deciding the dimensionality of a policy shock as manifest in the abnormal change in asset returns’ stochastic covariance matrix, following the release of a macroeconomic announcement. We use high-frequency data in local windows before and after the event to estimate the covariance jump matrix and then test its rank. We find a one-factor structure in the covariance jump matrix of the yield curve resulting from the Federal Reserve’s monetary policy shocks before the 2007–2009 financial crisis. The dimensionality of policy shocks increased afterwards because of the use of unconventional monetary policy tools.