Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/226818
Authors: 
Holtemöller, Oliver
Kriwoluzky, Alexander
Kwak, Boreum
Year of Publication: 
2020
Series/Report no.: 
DIW Discussion Papers No. 1906
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
identification through heteroskedasticity
high-frequency identification
proxy SVAR
JEL: 
C36
E52
E58
Document Type: 
Working Paper

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