Monetary Policy Shocks: Data or Methods?

Connor M. Brennan, Margaret Jacobson, Christian Matthes and Todd Walker

No 2024-011r1, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: Different series of high-frequency monetary shocks can have a correlation coefficient as low as 0.3 and the same sign in only one half of observations. Both data and methods drive these differences, which are starkest when the federal funds rate is at its effective lower bound. After documenting differences in monetary shock series, we explore their consequence for inference in several specifications. We find that empirical estimates of monetary policy transmission have few qualitative differences. We caution that inference may not be entirely robust to all shock constructions because qualitative differences can emerge when we interchange data and methods.

Keywords: High-frequency monetary policy shocks; Monetary policy transmission; Empirical monetary economics (search for similar items in EconPapers)
JEL-codes: E31 E32 E52 E58 (search for similar items in EconPapers)
Pages: 54 p.
Date: 2024-02-28, Revised 2024-11-01
New Economics Papers: this item is included in nep-ban, nep-cba and nep-mon
Note: Revision
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfe:2024-11

DOI: 10.17016/FEDS.2024.011r1

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