This paper discusses the impact of monetary policy on financial and macroeconomic variables in Russia. We distinguish two dimensions of monetary policy: (1) one caused by changes in the current rates; and (2) one caused by any other reason (such as forward guidance or communication or information from the central bank). We find that these two dimensions have distinct effects on financial variables. The first dimension better explains the variation of interest rates over the entire yield curve. In contrast, the second dimension is closely related to the variation in the exchange rate and market indices. Additionally, we also show that monetary policy transmission from interest rates to inflation takes about one year, but that this effect is only temporary.