Constructing high-frequency monetary policy surprises from SOFR futures

Miguel Acosta, Connor M. Brennan and Margaret Jacobson

No 2024-034, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: Eurodollar futures were the bedrock for constructing high-frequency series of monetary policy surprises, so their discontinuation poses a challenge for the continued empirical study of monetary policy. We propose an approach for updating the series of Gurkaynak et al. (2005) and Nakamura and Steinsson (2018) with SOFR futures in place of Eurodollar futures that is conceptually and materially consistent. We recommend using SOFR futures from January 2022 onward based on regulatory developments and trading volumes. The updatedseries suggest that surprises over the recent tightening cycle are larger in magnitude than those seen over the decade prior and restrictive on average.

Keywords: Monetary surprises; Causal estimates of monetary policy; High-frequency identification (search for similar items in EconPapers)
JEL-codes: E31 E32 E52 E58 (search for similar items in EconPapers)
Pages: 9 p.
Date: 2024-05-30
New Economics Papers: this item is included in nep-cba and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfe:2024-34

DOI: 10.17016/FEDS.2024.034

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