This paper proposes a text-based measure of monetary policy stance by modelling FOMC post-meeting statements as convex combinations of the staff-drafted dovish ("alternative A") and hawkish …
This 2023 American Economic Review paper by Régis Barnichon and Geert Mesters develops a theoretical framework, with an empirical application to U.S. monetary policy, for evaluating whether current …
This 2020 American Economic Journal: Macroeconomics paper by Marek Jarociński and Peter Karadi argues that conventional high-frequency-identified monetary policy surprises conflate two economically …
This 2026 Journal of Macroeconomics paper by Zhengyang Chen asks why high-frequency monetary policy surprises (MPS) -- changes in short-term interest-rate futures measured in narrow windows around …
PublishedClassicInternational Journal of Central BankingPublished May 2005
This 2005 International Journal of Central Banking paper by Refet Gürkaynak, Brian Sack, and Eric Swanson tests whether asset-price responses to FOMC announcements can be adequately characterized by a …
This 2013 Journal of Monetary Economics paper by S. Mahdi Barakchian and Christopher Crowe argues that the standard toolkit for identifying monetary policy shocks -- recursive VARs …
This 2001 Journal of Monetary Economics paper by Kenneth N. Kuttner addresses a basic errors-in-variables problem in earlier event studies of monetary policy and interest rates (notably Cook and Hahn …
PublishedClassicAmerican Economic Journal: MacroeconomicsPublished Jan 2015
This 2015 American Economic Journal: Macroeconomics paper by Mark Gertler and Peter Karadi uses a "proxy SVAR" — a structural VAR identified with external instruments rather than timing restrictions — …
PublishedReview of Economic StudiesOnline 6 Oct 2025Published Jul 2026
This paper constructs an instrumental variable for technology news shocks using patent applications, relaxing all identifying assumptions traditionally used in the news-shock literature. The IV is the …
PublishedClassicReview of Financial StudiesOnline 7 Apr 2020Published Feb 2021
Identifying US monetary policy shocks from daily moves in five-year Treasury futures around FOMC announcements, this paper shows that during the unconventional-policy years those shocks largely …
This 2002 American Economic Review Papers and Proceedings essay by John Cochrane and Monika Piazzesi proposes a high-frequency alternative to monthly-VAR identification of monetary policy shocks, …
PublishedClassicReview of Economic StudiesOnline 8 May 2020Published Nov 2020
A single global factor extracted from a large panel of risky asset prices traded around the world falls sharply after a US monetary contraction, alongside deleveraging by global banks, a rise in …