Damásio, Bruno Miguel PintoMaciel, Samuel Dutra dos Reis Cavalcante2025-11-132025-11-132025-10-29http://hdl.handle.net/10362/190647Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Information Analysis and ManagementThis study investigates the macroeconomic effects of monetary policy surprises in the Euro Area 20 (EA20), a topic studied less extensively than in the United States. We construct a measure of monetary policy surprises via a high-frequency identification strategy adapted for daily EONIA/ESTER data surrounding European Central Bank (ECB) policy announcements. To isolate exogenous policy innovations, these surprises are subsequently orthogonalized using preannouncement macroeconomic and financial information. The dynamic responses of EA20 GDP and HICP inflation to these orthogonalized shocks are then estimated using Local Projections. Our findings indicate that monetary policy surprises do not have a statistically significant effect on EA20 GDP growth. However, we find that a contractionary surprise leads to a statistically significant decrease in HICP inflation, an effect that materializes after approximately 20 months.engMonetary Policy SurprisesMonetary Policy ShocksEuro AreaHigh Frequency IdentificationLocal ProjectionsImpulse Response FunctionsECB (European Central Bank)SDG 8 - Decent work and economic growthSDG 16 - Peace, justice and strong institutionsmaster thesis204070678