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 …

that ERPT changes with the kind of shock and the monetary policy response to it. …

-robust approach is proposed to construct estimation and inference. Thirdly, this paper suggests a procedure to derive theory … the FEVD tend to remove unreasonable implications, increase estimation precision, sharpen and also alter the inference of …

financial variables changes the model dynamics and delivers price responses which are more in line with economic theory. A …