We study unconventional policy shocks and information shocks associated with central bank announcements in the U.S. While unconventional policy shocks capture the direct influence of announced monetary policy actions, information shocks are associated with central bank information conveyed with the announcement. To disentangle these two types of shocks, we impose sign restrictions on high frequency changes in interest rates and stock prices around announcements. We find that information shocks lead to persistent declines in the 10-year government bond yield, whereas the actual unconventional policy shock induces only small interest rate responses. We also find that expansionary output effects of unconventional monetary policy are to some extent counteracted by the information shock.

我们研究美国非常规政策冲击和与中央银行公告相关的信息冲击。非常规政策冲击受到已宣布的货币政策行动的直接影响，而信息冲击则与公告中传达的中央银行信息相关。为了消除这两种类型的冲击，我们对公告周围利率和股价的高频变化施加了符号限制。我们发现，信息冲击会导致10年期政府债券收益率持续下降，而实际的非常规政策冲击只会引起较小的利率反应。我们还发现，非常规货币政策的扩张性产出效应在一定程度上被信息冲击所抵消。