Fed Implied Market Prices and Risk Premia
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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
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美国国家经济研究局创建时间：
2022-07-01
