How High Does High Frequency Need to Be? A Comparison of Daily and Intradaily Monetary Policy Surprises

Phillip An, Karlye Dilts Stedman and Amaze Lusompa
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Phillip An: https://www.kansascityfed.org/research-staff/phillip-an/

No RWP 25-03, Research Working Paper from Federal Reserve Bank of Kansas City

Abstract: This paper investigates the utility of daily data in measuring high-frequency monetary policy surprises, comparing various announcement-day asset price changes with their intradaily (30-minute) counterparts. We find that both frequencies are similarly distributed and often highly correlated, particularly for longer-horizon measures. Testing daily surprises for systematic contamination from non-monetary policy news, we find no evidence to suggest that contemporaneous news releases bias their measurement. Empirical applications, including high-frequency passthrough to Treasury yields and proxy SVAR models, suggest that daily surprises produce results comparable to those obtained with intradaily data. Our findings suggest that while intradaily data remains invaluable for certain applications, daily data offers a practical and robust alternative for assessing monetary policy surprises, particularly when the event, or the reaction to it, extends beyond a narrow window, or when intradaily data is unavailable.

JEL-codes: E43 E44 E52 E58 G14 (search for similar items in EconPapers)
Pages: 39
Date: 2025-05-16
New Economics Papers: this item is included in nep-ets, nep-mon and nep-mst
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