“…Given that this FOMC announcement placed such a large emphasis on asset purchases, contract, scaled as above, and define that to be the federal funds rate factor; I take the 30-minute change in the 2-year Treasury yield, regress that on a constant and the federal funds rate factor, and define the residuals to be the forward guidance factor; and I take the 30-minute change in the 10-year Treasury yield, regress that on a constant and the first two factors, and define the residuals to be the LSAP factor. This is essentially the same approach taken in very recent papers by Rogers, Scotti, and Wright (2018) and Gilchrist, Yue, and Zakrajsek (2018), although the latter authors do not distinguish between changes in the federal funds rate and forward guidance.…”