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We identify monetary policy shocks in Japan during the unconventional monetary policy period using high-frequency data for interest rate futures. Following the empirical strategy of Gürkaynak et al. (Int J Cent Bank 1 55-93, 2005), we conduct an event-study analysis to estimate the effects of the monetary policy surprises on asset prices around the timing of policy announcements made by the Bank of Japan between 1999 and 2020. We find that a monetary policy shock can be described by two factors that have statistically significant effects o
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