Estimating Monetary Policy Shocks: Data and Practical Aspects

Lucia Milena Murgia ()
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Lucia Milena Murgia: University College London, School of Management

Chapter Chapter 6 in The Impact of Monetary Policy, 2026, pp 75-95 from Springer

Abstract: Abstract This chapter presents a hands-on study measuring the impact of orthogonalized monetary policy shocks on prices and output. It walks through a transparent identification strategy, data assembly, and estimation steps, then provides commented R code to replicate results, covering data import, shock construction, baseline regressions or local projections, impulse response plotting, and uncertainty quantification. Practical guidance on diagnostics, robustness checks (lags, samples, instruments), and interpretation is included, alongside tips for documenting a fully reproducible workflow. The chapter concludes with an annotated bibliography and curated datasets to encourage extensions. It is designed for students and early-career researchers seeking a concise, implementable entry point to empirical monetary policy analysis.

Date: 2026
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Persistent link: https://EconPapers.repec.org/RePEc:spr:fimchp:978-3-032-15451-4_6

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DOI: 10.1007/978-3-032-15451-4_6

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