{
  "title": "A New Dataset of High-Frequency Monetary Policy Shocks",
  "publication": "IMF Working Papers, October 11, 2024",
  "sourceUrl": "https://www.imf.org/en/publications/wp/issues/2024/10/11/a-new-dataset-of-high-frequency-monetary-policy-shocks-556255",
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  "summary": "This paper presents a new dataset of monetary policy shocks for 21 advanced economies and 8 emerging markets from 2000-2022. We use daily changes in interest rate swap rates around central bank announcements to identify unexpected shocks to the path of monetary policy.",
  "sections": [
    {
      "heading": "Dataset overview",
      "content": "- Coverage: 21 advanced economies and 8 emerging markets.\n- Sample period: 2000-2022.\n- Observations: Daily changes in interest rate swap rates around central bank announcements used to identify unexpected shocks to the path of monetary policy.\n- Primary use: Series intended to examine cross-country heterogeneity in the impact of monetary policy shocks."
    },
    {
      "heading": "Methodology",
      "content": "- Identification strategy: Use daily changes in interest rate swap rates around central bank announcements to identify unexpected (high-frequency) monetary policy shocks.\n- Key measurement: Monetary policy surprises measured from movements in swap rates at announcement windows."
    },
    {
      "heading": "Key findings",
      "content": "- 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.\n- Cross-country heterogeneity: The resulting series enables analysis of differences across countries in the impact of monetary policy shocks."
    },
    {
      "heading": "Subject coverage and keywords",
      "content": "- 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.\n- 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.\n\n---\n\n Content in this bundle\n\n- Working Paper\n  - Working Paper (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - Working Paper (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2024/10/11/a-new-dataset-of-high-frequency-monetary-policy-shocks-556255"
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    "Authors: Marijn A. Bolhuis, Sonali Das, Bella Yao",
    "Published: October 11, 2024",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9798400290930.001",
    "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.",
    "**Working Paper**"
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