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In this paper we identify the effect of central bank information releases on agents' expectations exploiting institutional features of the Bank of England news release process and high-frequency data. Whereas the literature typically jointly observes the informational and the monetary policy effects, we exploit the fact that the Bank of England, before August 2015, used to release (a) the Monetary Policy Committee communications, (b) the Monetary Policy Committee minutes, and (c) its economic outlook report (the Inflation Report) on three separate business days. Through this methodology, we are able to identify "pure" information shocks. Our results suggest that information effects are a key driver of market reactions to central bank's announcements, and that their salience is comparable to the one of pure monetary shocks. Whereas the bulk of the literature makes use of monthly surveys in order to capture output expectations, we exploit the government liabilities yield curve slope as inverse proxy of output expectations in a high-frequency exercise, and show that some of the conventional results are overturned. We find strong evidence of information effects not only on output, yet on inflation expectations as well. According to our results, the information effect quantitatively dominates the monetary policy effect on inflation expectations. Vice versa, the monetary policy effect dominates the information effect on output expectations.
