Measuring monetary policy in the UK: the UK Monetary Policy Event‑Study Database

Robin Braun (), Silvia Miranda-Agrippino and Tuli Saha ()
Additional contact information
Robin Braun: Federal Reserve Board of Governors
Tuli Saha: Bank of England, Postal: Bank of England, Threadneedle Street, London, EC2R 8AH

No 1050, Bank of England working papers from Bank of England

Abstract: This paper introduces the UK Monetary Policy Event-Study Database (UKMPD), a new and rich dataset of high-frequency monetary policy surprises for the United Kingdom. Intraday surprises are computed around the Bank of England’s Monetary Policy Committee’s announcements, as well as around the press conference that accompanies the publication of the quarterly Monetary Policy Report. The dataset also includes factors that allow to disentangle the different dimensions of UK monetary policy. We use the data to provide updated estimates of the causal effects of rate decisions and forward guidance on financial markets and macroeconomic aggregates in the UK, and provide novel insights on how markets have responded to the changes in the communication strategy of the Bank of England.

Keywords: UK monetary policy surprises; event-study; intraday; monetary policy transmission; dataset (search for similar items in EconPapers)
JEL-codes: E43 E44 E52 E58 G14 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2023-11-03
New Economics Papers: this item is included in nep-cba, nep-his, nep-mac and nep-mon
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Related works:
Journal Article: Measuring monetary policy in the UK: The UK monetary policy event-study database (2025)
Working Paper: Measuring Monetary Policy in the UK: the UK Monetary Policy Event-Study Database (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:boe:boeewp:1050

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