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This paper provides evidence on the short-run reactions of an emerging financial market to monetary policy announcements. An instrumental variable estimation approach is employed, based on the �identification through heteroscedasticity� technique, to estimate the impact of a change in the official interest rate and its surprise component on asset prices in Poland. The recently introduced methodology controls for possible feedback relationships between financial variables and official interest rate changes. In this analysis, the short-term interest rates respond significantly to official interest rate changes, but neither the long-term interest rates, stock indices, nor foreign exchange rates react to monetary announcements in the expected direction.
