Deconstructing Monetary Policy Surprises: The Role of Information Shocks
通过结构向量自回归模型，将央行公告中的货币政策冲击与信息冲击分离，发现两者对经济有截然不同的影响，忽略信息冲击会扭曲对货币政策非中性的推断。
Central bank announcements simultaneously convey information about monetary policy and the central bank's assessment of the economic outlook. This paper disentangles these two components and studies their effect on the economy using a structural vector autoregression. It relies on the information inherent in high-frequency co-movement of interest rates and stock prices around policy announcements: a surprise policy tightening raises interest rates and reduces stock prices, while the complementary positive central bank information shock raises both. These two shocks have intuitive and very different effects on the economy. Ignoring the central bank information shocks biases the inference on monetary policy nonneutrality.