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A Reassessment of Monetary Policy Surprises and High-Frequency Identification

Citations

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Cited by:

  1. Ngambou Djatche, Melchisédek Joslem, 2025. "Unveiling the effects of monetary surprises: Risk-taking and credit supply of U.S. banks," International Review of Economics & Finance, Elsevier, vol. 101(C).
  2. Alexandra Piller & Marc Schranz & Larissa Schwaller, 2025. "Using Natural Language Processing to Identify Monetary Policy Shocks," Working Papers 25.05, Swiss National Bank, Study Center Gerzensee.
  3. Santiago Camara, 2023. "International Spillovers of ECB Interest Rates Monetary Policy & Information Effects," Working Papers 250, Red Nacional de Investigadores en Economía (RedNIE).
  4. Valentina Michelangeli & Fabio Massimo Piersanti, 2025. "Business loan characteristics and inflation shocks transmission in the euro area," Temi di discussione (Economic working papers) 1477, Bank of Italy, Economic Research and International Relations Area.
  5. Mr. Pragyan Deb & Julia Estefania-Flores & Melih Firat & Davide Furceri & Siddharth Kothari, 2023. "Monetary Policy Transmission Heterogeneity: Cross-Country Evidence," IMF Working Papers 2023/204, International Monetary Fund.
  6. Davide Brignone & Alessandro Franconi & Marco Mazzali, 2023. "Robust Impulse Responses using External Instruments: the Role of Information," Papers 2307.06145, arXiv.org.
  7. Riccardo Degasperi & Fabrizio Venditti, 2024. "US monetary policy spillovers to the euro area," Questioni di Economia e Finanza (Occasional Papers) 891, Bank of Italy, Economic Research and International Relations Area.
  8. Cameron Haas & Mateo Hoyos & Emiliano Libman & Guilherme K. Martins & Arslan Razmi, 2025. "Monetary Shocks and Inflation: Global Evidence from Trilemma-Based Identification," Working Papers DTE 650, CIDE, División de Economía.
  9. Pablo Aguilar Perez, 2024. "Global Spillovers of US Monetary Policy: New Insights from the Remittance Channel," Working Papers hal-04706954, HAL.
  10. William L. Gamber, 2026. "Firm Dynamics, Inflation, and the Transmission of Monetary Policy," Finance and Economics Discussion Series 2026-003, Board of Governors of the Federal Reserve System (U.S.).
  11. Rompolis, Leonidas S., 2025. "Quantitative easing, uncertainty, and risk aversion," Journal of Banking & Finance, Elsevier, vol. 177(C).
  12. Corsi, Fulvio & Longo, Luigi & Cordoni, Francesco, 2025. "SVAR identification with nowcasted macroeconomic data," Journal of Economic Dynamics and Control, Elsevier, vol. 179(C).
  13. Jo, Jungkeon, 2025. "Impact of Monetary Policy Shocks on Agricultural Markets," 2025 AAEA & WAEA Joint Annual Meeting, July 27-29, 2025, Denver, CO 360650, Agricultural and Applied Economics Association.
  14. Chen, Ziwen, 2026. "Monetary tightening and the art-market speculative premium: evidence from a contemporary–19th century spread," Economics Letters, Elsevier, vol. 262(C).
  15. Lai, Huating & Sun, Weihong & Liu, Ding, 2026. "Crossing the Pacific: Spillover effects of US monetary policy on Chinese corporate investment," Pacific-Basin Finance Journal, Elsevier, vol. 97(C).
  16. Robert Goodhead & Benedikt Kolb, 2025. "Monetary policy communication shocks and the macroeconomy," Economica, London School of Economics and Political Science, vol. 92(365), pages 173-198, January.
  17. Eric Fortier, 2026. "Specification Choice in Local Projections: Evidence from Monetary Policy Shocks," Discussion Papers dp26-01, Department of Economics, Simon Fraser University.
  18. Goodhead, Robert, 2024. "The economic impact of yield curve compression: Evidence from euro area forward guidance and unconventional monetary policy," European Economic Review, Elsevier, vol. 164(C).
  19. Marc Burri & Daniel Kaufmann, 2024. "Measuring monetary policy shocks," IRENE Working Papers 24-03, IRENE Institute of Economic Research.
  20. Pablo Aguilar-Perez, 2025. "Global Spillovers of US Monetary Policy: New Insights from the Remittance Channel," Working Papers 2025-21, CEPII research center.
  21. De Santis, Roberto A. & Tornese, Tommaso, 2024. "US monetary policy is more powerful in low economic growth regimes," Working Paper Series 2919, European Central Bank.
  22. Atsushi Inoue & Òscar Jordà & Guido M Kuersteiner, 2026. "Inference for local projections," The Econometrics Journal, Royal Economic Society, vol. 29(1), pages 2-26.
  23. Chen, Kaiji & Higgins, Patrick & Zha, Tao, 2024. "Constructing quarterly Chinese time series usable for macroeconomic analysis," Journal of International Money and Finance, Elsevier, vol. 143(C).
  24. Do, Yeongwoong, 2025. "Effects of monetary policy on the wealth inequality," Economics Letters, Elsevier, vol. 255(C).
  25. Alessandri, Piergiorgio & Jordà, Òscar & Venditti, Fabrizio, 2025. "Decomposing the monetary policy multiplier," Journal of Monetary Economics, Elsevier, vol. 152(C).
  26. El-Shagi, Makram, 2025. "Does the Fed adhere to its mandate? Estimating the Federal Reserve’s objective function," Economic Analysis and Policy, Elsevier, vol. 87(C), pages 1782-1796.
  27. Bundick, Brent & Herriford, Trenton & Smith, A. Lee, 2024. "The Term Structure of Monetary Policy Uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 160(C).
  28. Georgiadis, Georgios & Jarociński, Marek, 2025. "Global spillovers from multi-dimensional US monetary policy," Journal of International Economics, Elsevier, vol. 158(C).
  29. Jonathan J Adams & Symeon Taipliadis, 2025. "The Optimal Monetary Policy Response to Belief Distortions: Model-Free Evidence," Working Papers 001016, University of Florida, Department of Economics.
  30. Martin Groiss & Nicolas Syrichas, 2025. "Monetary Policy, Property Prices and Rents: Evidence from Local Housing Markets," Berlin School of Economics Discussion Papers 0058, Berlin School of Economics.
  31. González-Astudillo, Manuel & Tanvir, Rakeen, 2026. "Hawkish or Dovish? Inferring intended monetary policy from the Fed’s dot plot," Journal of Economic Dynamics and Control, Elsevier, vol. 185(C).
  32. Hiroyuki Kubota & Mototsugu Shintani, 2025. "Macroeconomic effects of monetary policy in Japan: an analysis using interest rate futures surprises," Empirical Economics, Springer, vol. 68(2), pages 783-801, February.
  33. Di Pace, Federico & Mangiante, Giacomo & Masolo, Riccardo M., 2025. "Do firm expectations respond to monetary policy announcements?," Journal of Monetary Economics, Elsevier, vol. 149(C).
  34. William Ginn & Jamel Saadaoui & Evangelos Salachas, 2025. "Stock Price Bubbles, Inflation and Monetary Surprises," Working Papers 2025.17, International Network for Economic Research - INFER.
  35. Olesya V. Grishchenko & Franck Moraux & Olga Pakulyak, 2025. "How Stable are Inflation Expectations in the Euro Area? Evidence from the Euro-Area Financial Markets," Finance and Economics Discussion Series 2025-041, Board of Governors of the Federal Reserve System (U.S.).
  36. Camara, Santiago, 2025. "Spillovers of US interest rates: Monetary policy & information effects," Journal of International Economics, Elsevier, vol. 154(C).
  37. Laumer, Sebastian & Morais Santos, Italo, 2024. "The impact of monetary policy shocks — Do not rule out central bank information effects or economic news," Economics Letters, Elsevier, vol. 237(C).
  38. Chen, Zhengyang, 2026. "Demystifying monetary policy surprises: Fed response to financial conditions and wait and see for new economic data," Journal of Macroeconomics, Elsevier, vol. 87(C).
  39. Lukas Berend & Jan Pruser, 2024. "The Transmission of Monetary Policy via Common Cycles in the Euro Area," Papers 2410.05741, arXiv.org, revised Nov 2024.
  40. Anghel, Dan Gabriel & Caraiani, Petre, 2024. "Monetary policy shocks and the high-frequency network connectedness of stock markets," International Review of Economics & Finance, Elsevier, vol. 96(PA).
  41. BBVA Research, 2025. "Spain | The Short Lags of Monetary Policy," Working Papers 25/08, BBVA Bank, Economic Research Department.
  42. Gouel, Christophe & Ma, Qingyin & Stachurski, John, 2024. "Interest rate dynamics and commodity prices," Journal of Economic Theory, Elsevier, vol. 222(C).
  43. Errico, Marco & Pesce, Simone & Pollio, Luigi, 2026. "Firm Heterogeneity and Aggregate Fluctuations," Research Technical Papers 06/RT/26, Central Bank of Ireland.
  44. Rella, Giacomo, 2025. "Time-varying interactions between monetary and housing credit policy," Journal of Macroeconomics, Elsevier, vol. 86(C).
  45. Marco Graziano & Marius Koechlin & Andreas Tischbirek, 2026. "The Spillovers of LSAPs on Banks in the Euro Area," Finance and Economics Discussion Series 2026-005r1, Board of Governors of the Federal Reserve System (U.S.), revised 22 Jun 2026.
  46. Hilde C. Bjornland & Jamie L. Cross & Jonas Holz, 2025. "Re-visiting the Relationship Between Oil Prices and Monetary Policy," CAMA Working Papers 2025-19, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  47. Boeck, Maximilian & Mori, Lorenzo, 2025. "Has globalization changed the international transmission of U.S. monetary policy?," Journal of International Economics, Elsevier, vol. 157(C).
  48. Bobasu, Alina & Ciccarelli, Matteo & Notarpietro, Alessandro & Ambrocio, Gene & Auer, Simone & Bonfim, Diana & Bottero, Margherita & Brázdik, František & Buss, Ginters & Byrne, David & Casalis, André , 2025. "Monetary policy transmission: a reference guide through ESCB models and empirical benchmarks," Occasional Paper Series 377, European Central Bank.
  49. Travis Adams & Andrea Ajello & Diego Silva & Francisco Vazquez-Grande, 2023. "More than Words: Twitter Chatter and Financial Market Sentiment," Papers 2305.16164, arXiv.org.
  50. Justinas Markauskas & Morten O. Ravn & Jose-Victor Rios-Rull, 2026. "Sticky Prices and Constraints to Produce," PIER Working Paper Archive 26-007, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  51. Arefeva, Alina & Arefyev, Nikolay, 2025. "Playing by the Taylor rules or sticking to Friedman’s policy: A new approach to monetary policy identification," Economic Modelling, Elsevier, vol. 143(C).
  52. Ehrmann, Michael & Gnan, Phillipp & Rieder, Kilian, 2023. "Central Bank Communication by ??? The Economics of Public Policy Leaks," CEPR Discussion Papers 18152, Centre for Economic Policy Research.
  53. Adams, Jonathan J. & Fang, Min & Liu, Zheng & Wang, Yajie, 2026. "The rise of AI pricing: Trends, driving forces, and implications for firm performance," Journal of Monetary Economics, Elsevier, vol. 157(C).
  54. Benchora, Inessa & Leroy, Aurélien & Raffestin, Louis, 2025. "Is monetary policy transmission green?," Economic Modelling, Elsevier, vol. 144(C).
  55. Santiago Camara & Sebastian Ramirez Venegas, 2022. "The Transmission of US Monetary Policy Shocks: The Role of Investment & Financial Heterogeneity," Papers 2209.11150, arXiv.org.
  56. Alex Hsu & Indrajit Mitra & Yu Xu & Linghang Zeng, 2023. "The Fed Information Effect and Firm-Level Investment: Evidence and Theory," FRB Atlanta Working Paper 2023-6a, Federal Reserve Bank of Atlanta, revised Mar 2024.
  57. Sophie Brana & Quentin Bro de Comères & Anne-Gaël Vaubourg, 2025. "How do analyst recommendations on banks respond to monetary policy news? An application to the Eurozone," Applied Economics, Taylor & Francis Journals, vol. 57(56), pages 9573-9590, December.
  58. Pflueger, Carolin, 2025. "Back to the 1980s or not? The drivers of inflation and real risks in Treasury bonds," Journal of Financial Economics, Elsevier, vol. 167(C).
  59. Tom D. Holden, 2024. "Robust Real Rate Rules," Econometrica, Econometric Society, vol. 92(5), pages 1521-1551, September.
  60. Christoph Lauper & Giacomo Mangiante, 2025. "Monetary Policy Shocks and Inflation Inequality," International Journal of Central Banking, International Journal of Central Banking, vol. 21(4), pages 135-190, October.
  61. Tomas Key & Jamie Lenney, 2024. "The impact of aggregate fluctuations across the UK income distribution," Bank of England Staff Working Paper series 1083, Bank of England.
  62. Alex Hsu & Indrajit Mitra & Linghang Zeng, 2023. "The Profitability Channel of Monetary Policy Transmission," FRB Atlanta Working Paper 2023-6, Federal Reserve Bank of Atlanta.
  63. Buda, G & Carvalho, V. M. & Corsetti, G & Duarte, J. B. & Hansen, S. & Moura, A. S. & Ortiz, A. & Rodrigo, T. & Rodríguez Mora, J. V. & Alves da Silva, G., 2025. "The Short Lags of Monetary Policy," Cambridge Working Papers in Economics 2509, Faculty of Economics, University of Cambridge.
    • Afonso S. Moura & Gergely Buda & Vasco M. Carvalho & Giancarlo Corsetti & João B. Duarte & Stephen Hansen & Álvaro Ortiz & Tomasa Rodrigo & José V. Rodríguez Mora & Guilherme Alves da Silva, 2025. "The Short Lags of Monetary Policy," Working Papers w202501, Banco de Portugal, Economics and Research Department.
  64. Tian, Yuan & Zhao, Junzhu & Zhen, Fang, 2025. "Monetary policy and oil volatility smirk," International Review of Financial Analysis, Elsevier, vol. 104(PB).
  65. Karmaziene, Egle & Terrada, Juan M., 2026. "Fast ETFs, slow bonds: price adjustment under monetary tightening," Finance Research Letters, Elsevier, vol. 90(C).
  66. Andrea Ajello & Diego Silva & Travis Adams & Francisco Vazquez-Grande, 2023. "More than Words: Twitter Chatter and Financial Market Sentiment," Finance and Economics Discussion Series 2023-034, Board of Governors of the Federal Reserve System (U.S.).
  67. Xiwen Bai & Jesus Fernandez-Villaverde & Yiliang Li & Francesco Zanetti, 2026. "State Dependence of Monetary Policy During Global Supply Chain Disruptions," CAMA Working Papers 2026-37, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
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  69. Aaron Graybill & Kyle Mangum, 2026. "Is Mortgage Lock-In Responsible for Housing Market Tightness?," Working Papers 26-33, Federal Reserve Bank of Philadelphia.
  70. Pesce, Simone & Errico, Marco & Pollio, Luigi, 2025. "Nonlinearities and heterogeneity in firms response to aggregate fluctuations: what can we learn from machine learning?," Working Paper Series 3107, European Central Bank.
  71. Arbatli-Saxegaard, Elif C. & Furceri, Davide & Dominguez, Pablo Gonzalez & Ostry, Jonathan D. & Peiris, Shanaka Jayanath, 2024. "Spillovers from US monetary policy: Role of policy drivers and cyclical conditions," Journal of International Money and Finance, Elsevier, vol. 143(C).
  72. De Rezende, Rafael B., 2023. "An event-driven bank stress indicator: The case of US regional banks," Finance Research Letters, Elsevier, vol. 56(C).
  73. Rubén Fernández-Fuertes, 2025. "Monetary Policy Shocks: A New Hope. Large Language Models and Central Bank Communication," BAFFI CAREFIN Working Papers 25257, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  74. Thorsten V. Koeppl & Jeremy M. Kronick & James McNeil, 2024. "Using functional shocks to assess conventional and unconventional monetary policy in Canada," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 57(4), pages 1314-1336, November.
  75. Hwang, Youngjin, 2025. "Information content in yield curve dynamics: Implications for monetary policy," Journal of Macroeconomics, Elsevier, vol. 83(C).
  76. Lu, Dong & Tang, Huoqing & Zhang, Chengsi, 2023. "China's monetary policy surprises and corporate real investment," China Economic Review, Elsevier, vol. 77(C).
  77. Okan Akarsu & Emrehan Aktuğ, 2025. "Decomposing supply- and demand-driven inflation in Turkey," Empirical Economics, Springer, vol. 69(2), pages 1047-1077, August.
  78. Murphy, Austin & AlSalman, Zeina & Souropanis, Ioannis, 2025. "An investigation into the causes of stock market return deviations from real earnings yields," International Review of Economics & Finance, Elsevier, vol. 102(C).
  79. Acosta, Miguel & Ajello, Andrea & Bauer, Michael D. & Loria, Francesca & Miranda-Agrippino, Silvia, 2025. "Financial market effects of FOMC communication: Evidence from a new event-study database," IMFS Working Paper Series 227, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
  80. Bianco, Timothy & Herrera, Ana María, 2025. "Monetary policy and credit flows: A tale of two effective lower bounds," Journal of Economic Dynamics and Control, Elsevier, vol. 175(C).
  81. Santiago Camara, 2026. "Sign-Dependent Spillovers of Global Monetary Policy," Papers 2602.09237, arXiv.org.
  82. Zhang, Renbin & Zhou, Weimin, 2026. "Monetary policy, intangible capital, and debt contracts," Journal of Corporate Finance, Elsevier, vol. 98(C).
  83. Wang, Jialing & Eom, Young Ho & Jang, Woon Wook, 2024. "Stock market responses to unconventional monetary policy shocks," Economics Letters, Elsevier, vol. 244(C).
  84. Mark M. Spiegel, 2025. "The Bank Lending Channel Is Back," Working Paper Series 2025-04, Federal Reserve Bank of San Francisco.
  85. Ma, Zhenyu & Wang, Junbo & Wang, Ning & Xiao, Zehua, 2024. "US monetary policy and real exchange rate dynamics: the role of exchange rate arrangements and capital controls," Economics Letters, Elsevier, vol. 242(C).
  86. Golez, Benjamin & Matthies, Ben, 2025. "Fed information effects: Evidence from the equity term structure," Journal of Financial Economics, Elsevier, vol. 165(C).
  87. Holm-Hadulla, Fédéric & Mazelis, Falk & Rast, Sebastian, 2023. "Bank and non-bank balance sheet responses to monetary policy shocks," Economics Letters, Elsevier, vol. 222(C).
  88. Shantanu Banerjee & Paul Cordova & Michiel De Pooter & Olesya V. Grishchenko, 2025. "Gauging the Sentiment of Federal Open Market Committee Communications through the Eyes of the Financial Press," Finance and Economics Discussion Series 2025-048, Board of Governors of the Federal Reserve System (U.S.).
  89. Jake D. Orchard, 2025. "Non-homothetic Demand Shifts and Inflation Inequality," Finance and Economics Discussion Series 2025-085, Board of Governors of the Federal Reserve System (U.S.).
  90. Choi, Sangyup & Willems, Tim & Yoo, Seung Yong, 2024. "Revisiting the monetary transmission mechanism through an industry-level differential approach," Journal of Monetary Economics, Elsevier, vol. 145(C).
  91. Lee C. Tucker, 2026. "You’re (not) Hired: Artificial Intelligence and Early Career Hiring in the Quarterly Workforce Indicators," Working Papers 26-27, Center for Economic Studies, U.S. Census Bureau.
  92. Alexa Kaminski & Alistair Macaulay & Wenting Song, 2026. "Monetary Policy Narratives and the Transmission of Monetary Policy," School of Economics Discussion Papers 0126, School of Economics, University of Surrey.
  93. Mikael Juselius & Dora Xia, 2026. "Monetary responses to external shocks in emerging market economies: the role of financial vulnerabilities," BIS Quarterly Review, Bank for International Settlements, March.
  94. Santiago Camara, 2026. "Sign-Dependent Spillovers of Global Monetary Policy," Working Papers 386, Red Nacional de Investigadores en Economía (RedNIE).
  95. Chen, Ziwen, 2026. "Monetary policy surprises and the distribution of art-market returns: evidence from panel quantile local projections," Finance Research Letters, Elsevier, vol. 92(C).
  96. Fukuda, Shin-ichi, 2025. "Short-run and long-run consequences of unconventional monetary policy in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 77(C).
  97. Danilo Leiva-León & Rodrigo Sekkel & Luis Uzeda, 2026. "Do Monetary Policy Shocks Affect the Neutral Rate of Interest?," Staff Working Papers 26-6, Bank of Canada.
  98. Gopinath, Gita & Meyer, Josefin & Reinhart, Carmen M. & Trebesch, Christoph, 2025. "Sovereign vs. corporate debt and default: More similar than you think," Journal of International Economics, Elsevier, vol. 155(C).
  99. Faia, Ester & Lewis, Karen K. & Zhou, Haonan, 2025. "Do investor differences impact monetary policy spillovers to emerging markets?," Journal of International Economics, Elsevier, vol. 156(C).
  100. Nadezhda Ivanova & Andrey Sinyakov & Konstantin Styrin, 2024. "Reassessing the Effectiveness and Transmission of Monetary Policy: Review of the Jackson Hole Economic Policy Symposium," Russian Journal of Money and Finance, Bank of Russia, vol. 83(4), pages 119-144, December.
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  104. Qi Li & Xu Zhang, 2023. "Monetary Policy and Racial Inequality in Housing Markets: A Study of 140 US Metropolitan Areas," Staff Working Papers 23-62, Bank of Canada.
  105. Chudik, Alexander & Kilian, Lutz, 2026. "Mean Group and Pooled Mixed-Frequency Estimators of Responses of Low-Frequency Variables to High-Frequency Shocks," CEPR Discussion Papers 21162, Centre for Economic Policy Research.
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  132. Sen, Aariya & Sensarma, Rudra, 2026. "Beyond borders: spillover effects of US monetary policy on the financial stress of emerging market economies," Journal of International Money and Finance, Elsevier, vol. 161(C).
  133. Gauti B. Eggertsson & Sergei K. Egiev, 2025. "Liquidity Traps: A Unified Theory of the Great Depression and the Great Recession," Journal of Economic Literature, American Economic Association, vol. 63(4), pages 1424-1551, December.
  134. Christopher D. Cotton, 2025. "The Predictability of Global Monetary Policy Surprises," Working Papers 25-14, Federal Reserve Bank of Boston.
  135. Marco Pinchetti & Andrzej Szczepaniak, 2024. "Global Spillovers of the Fed Information Effect," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 72(2), pages 773-819, June.
  136. Francesco Furlanetto & Antoine Lepetit, 2024. "The Slope of the Phillips Curve," Finance and Economics Discussion Series 2024-043, Board of Governors of the Federal Reserve System (U.S.).
  137. Chaoyi Chen & Elena Pesavento & Balazs Vonnak, 2026. "Estimator Averaging of Local Projection and VAR Impulse Responses," Papers 2605.05456, arXiv.org, revised Jun 2026.
  138. Alisdair McKay & Christian K. Wolf, 2023. "What Can Time‐Series Regressions Tell Us About Policy Counterfactuals?," Econometrica, Econometric Society, vol. 91(5), pages 1695-1725, September.
  139. Jiaming Huang & Luca Neri, 2026. "Beyond Validity: SVAR Identification Through the Proxy Zoo," Papers 2601.11195, arXiv.org.
  140. Golez, Benjamin & Kelly, Peter & Matthies, Ben, 2025. "FOMC news and segmented markets," Journal of Accounting and Economics, Elsevier, vol. 79(2).
  141. Kurov, Alexander & Olson, Eric & Wolfe, Marketa Halova, 2024. "Have the causal effects between equities, oil prices, and monetary policy changed over time?," Journal of Commodity Markets, Elsevier, vol. 36(C).
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