Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/225081 
Year of Publication: 
2020
Series/Report no.: 
IWH Discussion Papers No. 17/2020
Publisher: 
Halle Institute for Economic Research (IWH), Halle (Saale)
Abstract: 
We disentangle the effects of monetary policy announcements on real economic variables into an interest rate shock component and a central bank information shock component. We identify both components using changes in interest rate futures and in exchange rates around monetary policy announcements. While the volatility of interest rate surprises declines around the Great Recession, the volatility of exchange rate changes increases. Making use of this heteroskedasticity, we estimate that a contractionary interest rate shock appreciates the dollar, increases the excess bond premium, and leads to a decline in prices and output, while a positive information shock appreciates the dollar, decreases prices and the excess bond premium, and increases output.
Subjects: 
monetary policy
central bank information shock
identication through heteroskedasticity
high-frequency identication
proxy SVAR
JEL: 
C36
E52
E58
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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