  We explore the international transmission of monetary policy and central bank
information shocks by the Federal Reserve and the European Central Bank.
Identification of these shocks is achieved by using a combination of
high-frequency market surprises around announcement dates of policy decisions
and sign restrictions. We propose a high-dimensional macroeconometric framework
for modeling aggregate quantities alongside country-specific variables to study
international shock propagation and spillover effects. Our results are in line
with the established literature focusing on individual economies, and moreover
suggest substantial international spillover effects in both directions for
monetary policy and central bank information shocks. In addition, we detect
heterogeneities in the transmission of ECB policy actions to individual member
states.
