Identification of monetary surprises using intraday data

Abstract

Currently, the Bank of Russia in its press releases informs the public not only about the decision on the interest rate, but also on the planned trajectory of future interest rates and its own forecasts of the development of the macroeconomic situation. Thus, the Central Bank’s announcement may be unexpected for the public in two senses: a change in the key rate (monetary surprise) and providing new forecast information (informational surprise). The impact of different types of surprises on macroeconomic dynamics may be different, so it is advisable to be able to identify the effect of each of them separately. In this paper, the identification of monetary surprises is proposed, which has advantages over those already presented in the literature. It allows, firstly, to identify yield curve shocks and, secondly, to remove the non-monetary (informational) component from the estimates of monetary surprises. The paper reveals the need to identify information shocks using intraday data and the advantages of using minute data compared to using data of lower frequency. Based on the proposed high-frequency approach, we assess the role of information shocks and the role of interest rate trajectory signals in formatting Russian inflation expectations.