This paper examines the impact of monetary policy on asset prices, focusing on how changes in short-term interest rates affect stock prices and longer-term interest rates. The authors develop a new estimator that uses the heteroskedasticity in high-frequency data to identify the response of asset prices to monetary policy shocks. They find that the event-study approach, which is commonly used in this context, suffers from biases that make the estimated effects on stock prices appear too small and those on Treasury yields too large. The new estimator, based on the increased variance of policy shocks on days of FOMC meetings and the Chairman's testimony, provides more accurate estimates. The results show that an increase in short-term interest rates leads to a decline in stock prices and an upward shift in the yield curve, with the effect diminishing at longer maturities. The findings suggest that the event-study estimates are biased, and the heteroskedasticity-based estimator provides a more reliable measure of the relationship between monetary policy and asset prices. The paper also discusses the robustness of these findings and the implications for financial market participants and monetary policymakers.This paper examines the impact of monetary policy on asset prices, focusing on how changes in short-term interest rates affect stock prices and longer-term interest rates. The authors develop a new estimator that uses the heteroskedasticity in high-frequency data to identify the response of asset prices to monetary policy shocks. They find that the event-study approach, which is commonly used in this context, suffers from biases that make the estimated effects on stock prices appear too small and those on Treasury yields too large. The new estimator, based on the increased variance of policy shocks on days of FOMC meetings and the Chairman's testimony, provides more accurate estimates. The results show that an increase in short-term interest rates leads to a decline in stock prices and an upward shift in the yield curve, with the effect diminishing at longer maturities. The findings suggest that the event-study estimates are biased, and the heteroskedasticity-based estimator provides a more reliable measure of the relationship between monetary policy and asset prices. The paper also discusses the robustness of these findings and the implications for financial market participants and monetary policymakers.