This work investigates effects of conventional monetary policy and central bank information shocks from monetary policy announcements on the U.S. economy. We identify the surprises caused by changes in target rate and central bank’s private information embedded in high frequency exchange rate...

We propose a simple modification of the time series filter by Hamilton (2018b) that yields reliable and economically meaningful real-time output gap estimates. The original filter relies on 8-quarter ahead forecasts errors of an autoregression. While this approach yields a cyclical component of...