A working paper published by the Bank of Italy investigates changes in the impact of monetary surprises in the eurozone and the US since 1999.
In Monetary policy surprises over time, Marcello Pericoli and Giovanni Veronese look at two sets of data. The first, the authors say, "comprises a whole array of financial assets that may respond to monetary policy surprises, with the goals of identifying channels of transmission". The second data set aims to capture monetary policy shocks by constructing
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