Before revision:  While we observe an increase in volatility on announcement days , we find a negative implementation effect, which causes a remarkable reduction in volatility in the long term. A Model Confidence Set approach finds how the forecasting power of the proxy improves significantly after the policy announcement;
After revision:  While we observe an increase in volatility on announcement days and a decrease unfolding implementation effects. When applied to four Eurozone markets, a Model Confidence Set approach finds how the forecasting power of the proxy improves significantly after the policy announcement;