Monetary Policy Shocks: Data or Methods?

Brennan Connor M. (), Jacobson Margaret M. (), Matthes Christian () and Walker Todd B. ()
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Brennan Connor M.: University of Chicago, 5757 S University Ave, Chicago, IL, 60637, USA
Jacobson Margaret M.: 1378 Federal Reserve Board , 20th and Constitution, Washington, DC, 20551, USA
Matthes Christian: Department of Economics, University of Notre Dame, Jenkins-Nanovic Hall, Notre Dame, IN, 46556, USA
Walker Todd B.: Department of Economics, Indiana University, 100 S Woodlawn Ave, Bloomington, IN, 47405, USA

The B.E. Journal of Macroeconomics, 2025, vol. 25, issue 2, 595-659

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 consequences 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 data and methods are interchanged.

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)
Date: 2025
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DOI: 10.1515/bejm-2024-0175

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