  This paper presents evidence of an informational effect in changes of the
federal funds rate around FOMC announcements by exploiting exchange rate
variations for a panel of emerging economies. For several FOMC announcements
dates, emerging market economies' exchange rate strengthened relative to the US
dollar, in contrast to what the standard theory predicts. These results are in
line with the information effect, which denote the Federal Reserve's disclosure
of information about the state of the economy. Using Jarocinski \& Karadi
2020's identification scheme relying on sign restrictions and high-frequency
surprises of multiple financial instruments, I show how different US monetary
policy shocks imply different spillovers on emerging markets financial flows
and macroeconomic performance. I emphasize the contrast in dynamics of
financial flows and equity indexes and how different exchange rate regimes
shape aggregate fluctuations. Using a structural DSGE model and IRFs matching
techniques I argue that ignoring information shocks bias the inference over key
frictions for small open economy models.

General Economics;Economics