Local Projections (LP) is a popular methodology for the estimation of Impulse Responses (IR). Compared to the … traditional VAR approach, LP allow for more flexible IR estimation by imposing weaker assumptions on the dynamics of the data. The … this work we propose an IR estimation methodology based on B-spline smoothing called Smooth Local Projections (SLP). The …

financial shocks generate effects on the economy that increase more than proportionately in the size of the shock when the shock … is negative, but not when the shock is positive …

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

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 …