policy shock) and interest rate movements driven by exogenous information about the economy from the central bank (the … information shock). In order to disentangle the effects of these two shocks, we use interest rate changes on days of macroeconomic …

Federal Reserve's information set as in Romer and Romer (2004), I propose a new method of constructing a monetary policy shock … that occurs on Federal Reserve announcement days. I provide substantial evidence that the new monetary policy shock is … consistent with the predictions of workhorse macroeconomic models for structural monetary policy shocks. The new shock has large …

performance. This financial setting allows us to examine the Construal Level Theory, where the abstract variable is the forward … support Construal Level Theory. We show that the expected central bank rate’s reliance on the abstract forward rate becomes …

This paper studies the effects of three financial shocks in the economy: a net-worth shock, an uncertainty or risk … shock, and a credit-spread shock. We argue that only the latter can push the nominal interest rate against its zero lower … bound. Further, a recessionary shock to the net worth or the credit spread generates a positive response for loans, which is …

monetary policy news shock based on a VAR model. A monetary news shock is equivalent to new information about the Fed's future … monetary policy becoming available today. One example of a monetary news shock is a forward guidance announcement, where the … shocks. We estimate the response of the euro area to an expected future policy tightening of the Fed. The U.S. news shock …