monetary policy. We find that an identically-sized policy shock became less effective over time. We use a DSGE model to show …

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 …

shock types within a given country; we then show that the implicit under/over-valuations can be related to some simple cross … that can blur the thin separation line between uncertainty shock types. In this context, we find that ECB reacted to those …