High Frequency Identification of Monetary Non-Neutrality: The Information Effect

@article{Nakamura2013HighFI,
  title={High Frequency Identification of Monetary Non-Neutrality: The Information Effect},
  author={Emi Nakamura and J{\'o}n Bjarni Steinsson},
  journal={NBER Working Paper Series},
  year={2013}
}
We present estimates of monetary non-neutrality based on evidence from high-frequency responses of real interest rates, expected inflation, and expected output growth. Our identifying assumption is that unexpected changes in interest rates in a 30-minute window surrounding scheduled Federal Reserve announcements arise from news about monetary policy. In response to an interest rate hike, nominal and real interest rates increase roughly one-for-one, several years out into the term structure… 

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