## A New Dataset of High-Frequency Monetary Policy Shocks

_IMF Working Papers, October 11, 2024_

## Source details

**Canonical URL:** [A New Dataset of High-Frequency Monetary Policy Shocks](https://www.imf.org/en/publications/wp/issues/2024/10/11/a-new-dataset-of-high-frequency-monetary-policy-shocks-556255)

## Other formats

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## Bibliographic details
- Authors: Marijn A. Bolhuis, Sonali Das, Bella Yao
- Published: October 11, 2024
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9798400290930.001

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### Dataset overview
- 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.

### Methodology
- 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.

### Key findings
- 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.

### Subject coverage and keywords
- 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.

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## Content in this bundle

- **Working Paper**
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_Source: https://www.imf.org/en/publications/wp/issues/2024/10/11/a-new-dataset-of-high-frequency-monetary-policy-shocks-556255_