["Journal of Applied Econometrics, EarlyView. ", "\nABSTRACT\nThe effects of monetary policy shocks are regularly estimated using high‐frequency surprises in asset prices around central bank meetings as an instrument. These studies, insofar as they explicitly model the relationship between instrument and structural shock, assume a constant relationship between the instrument and the monetary policy shock. By allowing for time variation in this relationship, we show that only a few distinct periods are informative about monetary policy shocks. Therefore, we build a narrative for instrument‐based identification. For the instrument in Gertler and Karadi, the effect on the (log) price level is almost 50% larger than the standard specification would suggest.\n"]