We assess empirically the effects of monetary policy shocks on the Italian economy through the lenses of a heteroskedastic SVAR model. The identifying information provided by the time variation in the volatility of the structural shocks is complemented sign and narrative restrictions. The presence of heteroskedasticty is strongly supported by the data and sharpens significantly the uncertainty about IRFs, but it is not sufficient to allow reliable inference on the responses of interest, hence it has to be complemented with external information in the form of sign and narrative restrictions. Our results show that unexpected monetary policy contractions reduce both inflation and output growth, generating a significant increase in the Corporate Bond Spread. On the other hand, the response of the Euro-Dollar exchange rate and the Italy-Germany sovereign spread is not significantly affected.