Faust, Jon; Rogers, John H.; Swanson, Eric; Wright, … - In: Journal of the European Economic Association 1 (2003) 5, pp. 1031-1057
This paper proposes a new approach to identifying the effects of monetary policy shocks in an international vector autoregression. Using high-frequency data on the prices of Fed Funds futures contracts, we measure the impact of the surprise component of the FOMC-day Federal Reserve policy...