Measuring monetary policy in the UK: The UK monetary policy event-study database

Robin Braun, Silvia Miranda-Agrippino and Tuli Saha

Journal of Monetary Economics, 2025, vol. 149, issue C

Abstract: We introduce the UK Monetary Policy Event-Study Database (UKMPD), a new and rich dataset of high-frequency monetary policy surprises for the United Kingdom. Intraday surprises are computed around the Bank of England’s Monetary Policy Committee’s announcements, as well as around the press conference that follows the publication of the quarterly Monetary Policy Report. The dataset also includes factors that disentangle the different dimensions of UK monetary policy. We use the data to estimate the causal effects of UK monetary policy, and provide novel insights on how financial markets have responded to the changes in the communication strategy of the Bank of England.

Keywords: UK monetary policy surprises; Event-study; Intraday; Monetary policy transmission; Dataset (search for similar items in EconPapers)
JEL-codes: E43 E44 E52 E58 G14 (search for similar items in EconPapers)
Date: 2025
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Related works:
Working Paper: Measuring monetary policy in the UK: the UK Monetary Policy Event‑Study Database (2023)
Working Paper: Measuring Monetary Policy in the UK: the UK Monetary Policy Event-Study Database (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:moneco:v:149:y:2025:i:c:s0304393224000989

DOI: 10.1016/j.jmoneco.2024.103645

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