We consider identification of monetary shocks and their causal impacts in quasi-linear environments where (i)  agents may possess subjective beliefs and (ii) monetary authorities manage current and future interest rates. Assuming rational expectations or risk-neutrality trivially enables identification. More generally, we show how identification of monetary shocks from asset prices hinges on a Long-Run Neutrality condition, roughly meaning policy does not affect the compensation for permanent risks. We construct a non-parametric test of the Long-Run Neutrality condition in a world with risk premia and subjective beliefs. Finally, we present some example models in which the Long-Run Neutrality condition is violated.