Still Packing a Punch: Monetary Policy Transmission in a New Cross-Country High-Frequency Dataset

Ece Ozge Emeksiz, Güneş Kamber, Julia Otten and Gurnain Kaur Pasricha

No 2026/018, IMF Working Papers from International Monetary Fund

Abstract: This paper assesses the transmission of monetary policy using a new state-of-the-art intra-day dataset of monetary policy shocks for 16 advanced economies and emerging markets, the most comprehensive cross-country coverage to date. Using 30-minute windows around policy announcements, we construct target and path factor shocks for a broad sample of countries and assess their transmission to government bond yields, stock prices, and exchange rates. High-frequency identification improves the significance of estimated responses relative to lower-frequency intraday or daily data. Both target and path surprises generate large and consistent effects across asset classes. We find limited evidence of central bank information effects, confirming the validity of high-frequency methods. Post-COVID-19, transmission to yields and equity prices remains stable, but exchange rate responses weaken—likely due to synchronized monetary tightening across countries. The findings underscore the value of high-frequency data for robust identification and cross-country analysis of monetary policy transmission.

Keywords: Monetary Policy; High-Frequency Identification; Asset Prices; Yield Curve; Central Bank Communication; Emerging Markets; Advanced Economies; Quantitative Easing; Post-COVID-19 Inflation; Financial Market Response; monetary policy transmission; monetary policy shock; monetary policy surprise; IMF working papers; Exchange rates; Bond yields; Stocks; Global (search for similar items in EconPapers)
Pages: 44
Date: 2026-01-30
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