论文名称：Testing the Dimensionality of Policy Shocks

作者：Li, J ; Todorov, V；张秋诗

刊名：REVIEW OF ECONOMICS AND STATISTICS

发表时间：2024.03

This paper provides a nonparametric test for deciding thedimensionalityof 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 ofthe yield curve resulting from the Federal Reserve's monetary policyshocks before the 2007-2009 financial crisis. Thedimensionalityofpolicyshocks increased afterwards because ofthe use of unconventional monetary policy tools.