Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/295214 
Year of Publication: 
2024
Series/Report no.: 
IWH Discussion Papers No. 17/2020
Version Description: 
This version: May 17, 2024
Publisher: 
Halle Institute for Economic Research (IWH), Halle (Saale)
Abstract: 
Exploiting the heteroscedasticity of the changes in short-term and long-term interest rates and exchange rates around the FOMC announcement, we identify three structural monetary policy shocks. We eliminate the predictable part of the shocks and study their effects on financial variables and macro variables. The first shock resembles a conventional monetary policy shock, and the second resembles an unconventional monetary shock. The third shock leads to an increase in interest rates, stock prices, industrial production, consumer prices, and commodity prices. At the same time, the excess bond premium and uncertainty decrease, and the U.S. dollar depreciates. Therefore, this third shock combines all the characteristics of a central bank information shock.
Subjects: 
central bank information shock
high-frequency identication
identication through heteroskedasticity
monetary policy
proxy SVAR
JEL: 
C36
E52
E58
Document Type: 
Working Paper

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