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 …

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 …

a shock in the Federal Funds Rate, following the baseline and variations of the Vector Autoregression (VAR) models in …

level clearly. A positive information shock which also induces increases in interest rate is perceived by private agents as …

and the stock market in the US around FOMC announcements. A restrictive monetary policy shock in the US is identified by … an increase in the interest rate and a drop in stock prices, while a positive information shock is identified when both …

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 …