This study proposes a new approach to identifying monetary shocks for the Russian economy. Unlike existing research that applies high-frequency data, the presented method is based on a more precise definition of monetary policy shocks. The new identification explicitly considers the unpredictability of monetary shocks based on past information, specifically published macroeconomic forecasts. We use an instrumental approach because the regulator forecasts typically incorporate the current key rate decision and are highly correlated with analysts' forecasts known at the time of the Central Bank of Russia's press release. Econometric estimates of impulse responses of macroeconomic variables show that traditional key rate regulation, along with the publication of medium-term economic forecasts by the Central Bank, has a statistically significant restraining effect on inflation and economic activity.
