High Frequency Identification of Monetary Non-Neutrality: The Information Effect

Emi Nakamura, Jón Steinsson

NBER Working Paper No. 19260
Issued in July 2013, Revised in January 2018

---- Acknowledgments ----

We thank Miguel Acosta, Matthieu Bellon, Vlad Bouchouev, Nicolas Crouzet, Stephane Dupraz, Michele Fornino, Jesse Garret, and Shaowen Luo, for excellent research assistance. We thank Michael Abrahams, Tobias Adrian, Richard K. Crump, Matthias Fleckenstein, Michael Fleming, Mark Gertler, Refet Gurkaynak, Peter Karadi, Hanno Lustig, Emanuel Moench, and Eric Swanson for generously sharing data and programs with us. We thank Robert Barro, Marco Bassetto, Gabriel Chodorow-Reich, Stephane Dupraz, Gauti Eggertsson, Mark Gertler, Refet Gurkaynak, Samuel Hanson, Sophocles Mavroeidis, Emanuel Moench, Serena Ng, Roberto Rigobon, Christina Romer, David Romer, Christoph Rothe, Eric Swanson, Ivan Werning, Michael Woodford, Jonathan Wright and seminar participants at various institutions for valuable comments and discussions. We thank the National Science Foundation (grant SES-1056107), the Alfred P. Sloan Foundation, and the Columbia Business School Dean’s Office Summer Research Assistance Program for financial support. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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