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...

We investigate the extent to which inflation expectations have been more firmly anchored in the United Kingdom-a country with an explicit inflation target-than in the United States-a country with no such target-using the difference between far-ahead forward rates on nominal and inflation-indexed...