A New Dataset of High-Frequency Monetary Policy Shocks

Marijn Bolhuis, Sonali Das and Bella Yao

No 2024/224, IMF Working Papers from International Monetary Fund

Abstract: 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. The resulting series can be used to examine cross-country heterogeneity in the impact of monetary policy shocks. We establish a new empirical fact on monetary policy spillovers across countries: 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.

Keywords: monetary policy surprises; monetary policy shocks; central banks; central bank information effect; emerging markets; high-frequency method; spillovers; monetary policy spillovers; monetary policy spillover; monetary policy shock; information effect; monetary policy decision; monetary policy surprise; Yield curve; Sovereign bonds; Central bank policy rate; Emerging and frontier financial markets; Nominal effective exchange rate; Global (search for similar items in EconPapers)
Pages: 49
Date: 2024-10-11
New Economics Papers: this item is included in nep-ban, nep-cba and nep-mon
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