High-frequency identification of the causal effects of monetary policy relies on measuring monetary policy surprises–changes in interest rate futures prices in narrow windows around FOMC announcements capturing unexpected shifts in market-based interest rate expectations. Constructing these surprises entails two key heuristic choices: the event window and the set of interest rate futures contracts. This paper introduces the Volume-Based Monetary Policy Surprise (VBS), which uses abnormal trading volume to let the market endogenously determine the relevant event windows, set of futures contracts and their loadings in the resulting surprise measure for each announcement. The announcement-specific event windows flexibly capture when prices continue adjusting beyond conventional 30-minute windows and when relevant information is released during press conferences. The announcement-specific loadings naturally shift toward longer-dated contracts when the Federal Reserve relies on forward guidance about future policy. The VBS doubles the estimated impact of monetary policy on Treasury yields and equity markets and has a sizable impact on macroeconomic aggregates.

This paper constructs a novel high-frequency liquidity news surprise to identify the effects of Federal Reserve liquidity facility announcements during the Global Financial Crisis and COVID-19 pandemic. Using local projections, we show that liquidity facility announcements substantially lower long-term Treasury yields, with a one percentage point expansionary surprise reducing 10-year yields by approximately 0.2 percentage points. This effect operates almost entirely through term premia rather than expected future short rates. Inconvenience yields on treasury securities fall substantially and primary dealers increase their relative holdings of Treasuries. Our findings demonstrate that liquidity facilities represent an effective tool which reduces risk premia during financial crises.