Nonmonetary News in Fed Announcements: Evidence from the Corporate Bond Market
研究发现，当美联储意外收紧货币政策时，风险较高的公司债券表现优于风险较低的债券，表明货币政策公告中的信息成分（非货币新闻）对市场有重要影响。
Abstract When the Federal Reserve tightens monetary policy, do the prices of riskier assets fall relative to safer assets? Or, do investors interpret policy tightening as a signal that economic fundamentals are stronger than they previously believed, thus leading riskier assets to outperform? We present evidence that the latter of these two forces empirically dominates within the U.S. corporate bond market. Following an unanticipated monetary policy tightening, riskier corporate bonds outperform safer corporate bonds, demonstrating the importance of an informational, or nonmonetary, component within monetary policy announcements.