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 …

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 …