Title: Do actions speak louder than words?
Description: "We investigate the effects of U.S. monetary policy on asset prices using a high-frequency event-study analysis.  We test whether these effects are adequately captured by a single factor--changes in the federal funds rate target-and find that they are not.  Instead, we find that two factors are required.  These factors have a structural interpretation as a "current federal funds rate target" factor and a "future path of policy" factor, with the latter closely associated with FOMC statements.  We measure the effects of these two factors on bond yields and stock prices using a new intraday dataset going back to 1990.  According to our estimates, both monetary policy actions and statements have important but differing effects on asset prices, with statements having a much greater impact on longer-term Treasury yields"--Federal Reserve Board web site.