pure monetary policy shock and an information shock. Using inter-day movements of futures of interest rate in the banking … system, we identify an information shock when labor data is released and a pure monetary policy shock when the central bank … results suggest that a pure monetary policy shock produce an appreciation of nominal exchange rate, and contractionary effects …

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 … and uncertainty decrease, and the U.S. dollar depreciates. Therefore, this third shock combines all the characteristics of …

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 … that a contractionary interest rate shock appreciates the dollar, increases the excess bond premium, and leads to a decline …