Monetary and central bank information shocks: tales from alternative identifications

Bosung Jang and Inhwan So

Macroeconomic Dynamics, 2026, vol. 30, -

Abstract: Jarociński and Karadi (2020) proposed a straightforward method to deconstruct monetary policy surprises into pure monetary policy shocks and central bank information shocks by exploiting the opposite-signed co-movements between stock price surprises and the two shocks. They highlighted that each shock brings about significantly different effects on the economy. Expanding upon their approach, this paper examines and compares a variety of alternative instruments, including New Keynesian- and Fama–French factor-based, for the decomposition of monetary policy surprises. Our results collectively suggest that Fama–French’s high-minus-low factor is a promising navigator, almost comparable to stock price surprises.

Date: 2026
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