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This paper considers jumps in asset prices in short windows around macroeconomic news announcements and considers SVAR identification using the assumption that these jumps are not correlated with policy shocks. It switches the usual approach of an external instrument from something that is correlated with only the policy shock to one that is uncorrelated with the policy shock. Frequentist inference is considered. In principle, the approach can achieve point identification. In practice, the proposed instruments are too weak for point identification, but they can be used to sharpen frequentist sign identification. In an application, they reduce the width of confidence intervals for the impulse responses to a monetary policy shock.
