CNB Research Seminar "Monetary Policy Surprises with Imperfect Information"

Prague, 5 November 2026

Marek Jarocinski (European Central Bank)

---

Marek Jarocinski is a Principal Economist in the Monetary Policy Research Division at the European Central Bank (ECB) and a Research Fellow at the Centre for Economic Policy Research (CEPR).

Monetary Policy Surprises with Imperfect Information (abstract)

High-frequency interest rate surprises around Fed announcements do not identify monetary policy (MP) shocks if the market is imperfectly informed. They can be contaminated by central bank information (CBI) shocks, when the Fed's outlook differs from the market's, and Fed-response-to-news (FRN) shocks, when the Fed's policy rule is tighter than the market expects. The literature largely treats these as competing explanations. We show they are distinct: on impact, FRN leads to a negative co-movement of interest rates and stock prices, CBI to a positive one. We jointly identify all three shocks from this co-movement, predictability from public news, and heteroskedasticity across FOMC and non-FOMC communication in a new dataset of over 600 Fed events. CBI shocks are a robust feature of the data at daily and monthly frequencies; FRN shocks have a significant impact only at the daily frequency. Purging both strengthens monetary policy estimates, consistent with realistic price rigidity.