The effectiveness of monetary policy hinges on the ability of the monetary authority to communicate with the public in a clear and transparent manner. In this regard, the signalling of policy assumes key importance as it conveys the stance of monetary policy. In the Indian context, other than the traditional Cash Reserve Ratio, the Bank Rate and the Repo rate have emerged as the primary signalling instruments of monetary policy since the later half of the nineties decade. Against this backdrop, the present paper examines the efficacy of the signalling role of various monetary policy instruments in transmitting the stance of policy to the different segments of the financial market. Towards this end, first, we provide an extensive discussion on the signalling role of monetary policy with special reference to India. Next, we analyze the impact of changes in key policy instruments in India on four segments of the financial market employing the techniques of cointegration, granger causality and impulse response analysis, using monthly data over a fairly long horizon.