{"id":"https://openalex.org/W2123399720","doi":"https://doi.org/10.20955/wp.2011.009","title":"The Low-Frequency Impact of Daily Monetary Policy Shocks","display_name":"The Low-Frequency Impact of Daily Monetary Policy Shocks","publication_year":2011,"publication_date":"2011-01-01","ids":{"openalex":"https://openalex.org/W2123399720","doi":"https://doi.org/10.20955/wp.2011.009","mag":"2123399720"},"language":"en","primary_location":{"id":"doi:10.20955/wp.2011.009","doi":"https://doi.org/10.20955/wp.2011.009","is_oa":true,"landing_page_url":"https://doi.org/10.20955/wp.2011.009","pdf_url":"https://s3.amazonaws.com/real.stlouisfed.org/wp/2011/2011-009.pdf","source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Federal Reserve Bank of St. Louis","raw_type":"report"},"volume":null,"type":"report","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"gold","oa_url":"https://s3.amazonaws.com/real.stlouisfed.org/wp/2011/2011-009.pdf","any_repository_has_fulltext":null},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5065123878","display_name":"Neville R. Francis","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I114027177","display_name":"University of North Carolina at Chapel Hill","ror":"https://ror.org/0130frc33","country_code":"US","type":"education","lineage":["https://openalex.org/I114027177"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Neville Francis","raw_affiliation_strings":["Department of Economics , University of North Carolina , Gardener Hall CB# 3305 , Chapel Hill , NC 27599 ,","University of North Carolina (UNC) at Chapel Hill - Department of Economics"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics , University of North Carolina , Gardener Hall CB# 3305 , Chapel Hill , NC 27599 ,","institution_ids":["https://openalex.org/I114027177"]},{"raw_affiliation_string":"University of North Carolina (UNC) at Chapel Hill - Department of Economics","institution_ids":["https://openalex.org/I114027177"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5068715764","display_name":"\u00c9ric Ghysels","orcid":"https://orcid.org/0000-0002-7125-2040","observed_orcids":["https://orcid.org/0000-0002-7125-2040"]},"institutions":[{"id":"https://openalex.org/I114027177","display_name":"University of North Carolina at Chapel Hill","ror":"https://ror.org/0130frc33","country_code":"US","type":"education","lineage":["https://openalex.org/I114027177"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Eric Ghysels","raw_affiliation_strings":["Department of Finance , Kenan-Flagler Business School , and Department of Economics , University of North Carolina , Gardener Hall CB# 3305 ,","University of North Carolina (UNC) at Chapel Hill - Department of Economics"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Finance , Kenan-Flagler Business School , and Department of Economics , University of North Carolina , Gardener Hall CB# 3305 ,","institution_ids":["https://openalex.org/I114027177"]},{"raw_affiliation_string":"University of North Carolina (UNC) at Chapel Hill - Department of Economics","institution_ids":["https://openalex.org/I114027177"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5033238882","display_name":"Michael T. Owyang","orcid":"https://orcid.org/0000-0002-2109-3432","observed_orcids":["https://orcid.org/0000-0002-2109-3432"]},"institutions":[{"id":"https://openalex.org/I77793887","display_name":"Federal Reserve Bank of St. Louis","ror":"https://ror.org/02skhjj30","country_code":"US","type":"other","lineage":["https://openalex.org/I1317239608","https://openalex.org/I77793887"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Michael T. Owyang","raw_affiliation_strings":["Research Department , Federal Reserve Bank of St. Louis , P.O. Box 442 , St. Louis , MO 63166-0442 ,","Federal Reserve Bank of St Louis Research Division"],"raw_orcid":"https://orcid.org/0000-0002-2109-3432","affiliations":[{"raw_affiliation_string":"Research Department , Federal Reserve Bank of St. Louis , P.O. Box 442 , St. Louis , MO 63166-0442 ,","institution_ids":["https://openalex.org/I77793887"]},{"raw_affiliation_string":"Federal Reserve Bank of St Louis Research Division","institution_ids":["https://openalex.org/I77793887"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":true,"cited_by_count":12,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.0003000000142492354,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":9.999999747378752e-05,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/monetary-policy-shocks","display_name":"monetary policy shocks","score":0.984000027179718},{"id":"https://openalex.org/keywords/policy-timing","display_name":"policy timing","score":0.5090000033378601},{"id":"https://openalex.org/keywords/midas-regression","display_name":"MIDAS regression","score":0.722000002861023},{"id":"https://openalex.org/keywords/low-frequency-effects","display_name":"low-frequency effects","score":0.6620000004768372},{"id":"https://openalex.org/keywords/expectations","display_name":"expectations","score":0.48399999737739563},{"id":"https://openalex.org/keywords/real-variables","display_name":"real variables","score":0.531000018119812},{"id":"https://openalex.org/keywords/monetary-policy-transmission","display_name":"monetary policy transmission","score":0.4860000014305115}],"concepts":[{"id":"https://openalex.org/C126285488","wikidata":"https://www.wikidata.org/wiki/Q178476","display_name":"Monetary policy","level":2,"score":0.6964172124862671},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5251978635787964},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.46394655108451843}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.20955/wp.2011.009","doi":"https://doi.org/10.20955/wp.2011.009","is_oa":true,"landing_page_url":"https://doi.org/10.20955/wp.2011.009","pdf_url":"https://s3.amazonaws.com/real.stlouisfed.org/wp/2011/2011-009.pdf","source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Federal Reserve Bank of St. Louis","raw_type":"report"},{"id":"pmh:oai:RePEc:fip:fedlwp:2011-009","doi":null,"is_oa":false,"landing_page_url":"http://research.stlouisfed.org/wp/2011/2011-009.pdf","pdf_url":"http://research.stlouisfed.org/wp/2011/2011-009.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"}],"best_oa_location":{"id":"doi:10.20955/wp.2011.009","doi":"https://doi.org/10.20955/wp.2011.009","is_oa":true,"landing_page_url":"https://doi.org/10.20955/wp.2011.009","pdf_url":"https://s3.amazonaws.com/real.stlouisfed.org/wp/2011/2011-009.pdf","source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Federal Reserve Bank of St. Louis","raw_type":"report"},"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2123399720.pdf","grobid_xml":"https://content.openalex.org/works/W2123399720.grobid-xml"},"referenced_works_count":49,"referenced_works":["https://openalex.org/W1506153697","https://openalex.org/W1515971793","https://openalex.org/W1544604657","https://openalex.org/W1558396913","https://openalex.org/W1564641194","https://openalex.org/W1573414451","https://openalex.org/W1585900836","https://openalex.org/W1679881948","https://openalex.org/W1918248777","https://openalex.org/W1970487353","https://openalex.org/W1972508593","https://openalex.org/W1985874688","https://openalex.org/W1991869321","https://openalex.org/W2018795460","https://openalex.org/W2019459021","https://openalex.org/W2022541848","https://openalex.org/W2028077947","https://openalex.org/W2042853919","https://openalex.org/W2042883439","https://openalex.org/W2053752134","https://openalex.org/W2075273410","https://openalex.org/W2086187220","https://openalex.org/W2089786693","https://openalex.org/W2107538274","https://openalex.org/W2110515654","https://openalex.org/W2111735276","https://openalex.org/W2135860498","https://openalex.org/W2144031751","https://openalex.org/W2146196827","https://openalex.org/W2168211193","https://openalex.org/W2571446175","https://openalex.org/W2890717445","https://openalex.org/W2891825989","https://openalex.org/W3122283646","https://openalex.org/W3122607313","https://openalex.org/W3123121666","https://openalex.org/W3123901661","https://openalex.org/W3124198157","https://openalex.org/W3124548736","https://openalex.org/W3124620913","https://openalex.org/W3124795371","https://openalex.org/W3124933125","https://openalex.org/W3125263362","https://openalex.org/W3140992443","https://openalex.org/W4239117319","https://openalex.org/W4297691338","https://openalex.org/W4300472578","https://openalex.org/W4307492541","https://openalex.org/W4308881316"],"related_works":["https://openalex.org/W7097162133","https://openalex.org/W3123516185","https://openalex.org/W7161305665","https://openalex.org/W2120957664","https://openalex.org/W3041995759","https://openalex.org/W2915109867","https://openalex.org/W3125515498","https://openalex.org/W1604010577","https://openalex.org/W7113140054","https://openalex.org/W2201444700"],"abstract_inverted_index":{"With":[0],"rare":[1],"exception,":[2],"studies":[3],"of":[4,12,47,62,75,89],"monetary":[5,15,29],"policy":[6,16,50,64,68,90],"tend":[7],"to":[8,14,25,27,49,57,83],"neglect":[9],"the":[10,59,87],"timing":[11,20,46],"innovations":[13,48],"instruments.Models":[17],"which":[18],"take":[19],"seriously":[21],"are":[22,51,95],"often":[23],"difficult":[24],"compare":[26],"standard":[28],"VARs":[30],"because":[31],"each":[32],"uses":[33],"different":[34],"frequencies.We":[35],"propose":[36],"using":[37],"MIDAS":[38],"regressions":[39],"that":[40,67],"nests":[41],"both":[42],"ideas:":[43],"Accurate":[44],"(daily)":[45],"embedded":[52],"in":[53],"a":[54],"monthly-frequency":[55],"VAR":[56,85],"determine":[58],"macroeconomic":[60],"effects":[61,71,88],"high-frequency":[63],"shocks.We":[65],"find":[66],"have":[69],"greatest":[70],"on":[72,92],"variables":[73,94],"thought":[74],"as":[76],"heavily":[77],"expectations":[78],"oriented":[79],"and":[80],"that,":[81],"contrary":[82],"some":[84],"studies,":[86],"shocks":[91],"real":[93],"small.":[96]},"counts_by_year":[{"year":2024,"cited_by_count":2},{"year":2021,"cited_by_count":1},{"year":2018,"cited_by_count":1},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":2},{"year":2013,"cited_by_count":3},{"year":2012,"cited_by_count":1}],"updated_date":"2026-10-16T09:59:22.235173","created_date":"2016-06-24T00:00:00"}