Resumen 

This paper identifies anticipated (news) and unanticipated (surprise) shocks to the U.S. Fed Funds rate using Fed Funds Futures contracts, and assesses their propagation to emerging economies. Anticipated shocks are identified as the expected change in the Fed Funds rate orthogonal to expected U.S. business cycles conditions while unanticipated shocks are the one-step ahead forecast error. Anticipation accounts for 80% of quarterly Fed Funds fluctuations and explains 45% of the narrative series of monetary policy shocks. To identify the effects of both shocks, I estimate a Panel VAR using a sample of emerging economies. An anticipated (unanticipated) 25 basis points contractionary U.S. interest rate induces a fall of 0.5% in GDP one quarter before (after) the shock materializes. This effect is coupled with a depreciation of the exchange rate, an increase in sovereign spreads, and a decline in cross border bank flows. Results highlight the crucial role of anticipation, ignored by previous studies, to understand the propagation of U.S. interest rate shocks to emerging economies.