Holtemöller, Oliver; Kriwoluzky, Alexander; Kwak, Boreum - Leibniz-Institut für Wirtschaftsforschung Halle - 2020
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 … in exchange rates around monetary policy announcements. While the volatility of interest rate surprises declines around …