 Assessing monetary policy surprises in Japan by high frequency identificationFumitaka Nakamura, Nao Sudo and Yu Sugisaki Journal of the Japanese and International Economies, 2024, vol. 71, issue C Abstract: The use of changes in short-term interest rates (STIRs) within 30 min before and after monetary policy announcements, or so-called high-frequency identification (HFI), has been attracting attention as a method of extracting monetary policy surprises. In this paper, we use the Japanese data during the 2000s and 2010s, which includes periods when interest rates hovered around the ELB, to construct an indicator of monetary policy surprises using HFI and document its properties. We find that the STIR futures variations within 30 min around monetary policy announcements are more closely correlated with key financial variables than those outside that window. We also find that the impulse responses of macroeconomic variables to the identified shocks are overall in line with what conventional theory predicts. Keywords: Monetary policy surprises; High frequency identification; Effective lower bound (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jjieco:v:71:y:2024:i:c:s0889158323000552 DOI: 10.1016/j.jjie.2023.101300 Access Statistics for this article Journal of the Japanese and International Economies is currently edited by Takeo Hoshi More articles in Journal of the Japanese and International Economies from Elsevier |
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