A New Dataset of High-Frequency Monetary Policy Shocks

IMF Working Papers, October 11, 2024

Source details

Coverage: 21 advanced economies and 8 emerging markets.
Sample period: 2000-2022.
Observations: Daily changes in interest rate swap rates around central bank announcements used to identify unexpected shocks to the path of monetary policy.
Primary use: Series intended to examine cross-country heterogeneity in the impact of monetary policy shocks.

Identification strategy: Use daily changes in interest rate swap rates around central bank announcements to identify unexpected (high-frequency) monetary policy shocks.
Key measurement: Monetary policy surprises measured from movements in swap rates at announcement windows.

New empirical fact established: The monetary policy decisions of small open economy central banks, and not just major central banks, have substantial spillover effects on swap rates and bond yields in other countries.
Cross-country heterogeneity: The resulting series enables analysis of differences across countries in the impact of monetary policy shocks.

Subjects: Central bank policy rate; Emerging and frontier financial markets; Financial institutions; Financial markets; Financial services; Foreign exchange; Nominal effective exchange rate; Sovereign bonds; Yield curve.
Keywords: central bank information effect; Central bank policy rate; central banks; Emerging and frontier financial markets; emerging markets; Global; high-frequency method; information effect; monetary policy decision; monetary policy shock; monetary policy shocks; monetary policy spillover; monetary policy spillovers; monetary policy surprise; monetary policy surprises; Nominal effective exchange rate; Sovereign bonds; spillovers; Yield curve.