The Transmission of Monetary Policy Shocks

67 Pages Posted: 17 Dec 2018

See all articles by Silvia Miranda-Agrippino

Silvia Miranda-Agrippino

Bank of England

Giovanni Ricco

University of Warwick - Department of Economics; SciencesPo - OFCE

Multiple version iconThere are 2 versions of this paper

Date Written: December 2018


Commonly used instruments for the identification of monetary policy disturbances are likely to combine the true policy shock with information about the state of the economy due to the information disclosed through the policy action. We show that this signalling effect of monetary policy can give rise to the empirical puzzles reported in the literature, and propose a new high-frequency instrument for monetary policy shocks that accounts for informational rigidities. We find that a monetary tightening is unequivocally contractionary, with deterioration of domestic demand, labour and credit market conditions, as well as of asset prices and agents' expectations.

Keywords: Expectations, External Instruments, Information Rigidity, local projections, monetary policy, Survey Forecasts, VARs

JEL Classification: C11, C14, E52, G14

Suggested Citation

Miranda-Agrippino, Silvia and Ricco, Giovanni, The Transmission of Monetary Policy Shocks (December 2018). CEPR Discussion Paper No. DP13396, Available at SSRN:

Silvia Miranda-Agrippino (Contact Author)

Bank of England ( email )

Threadneedle Street
London, EC2R 8AH
United Kingdom

Giovanni Ricco

University of Warwick - Department of Economics ( email )

Coventry CV4 7AL
United Kingdom


SciencesPo - OFCE ( email )

69 Quai d'Orsay
Paris 75004


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