Cover IMF Working Papers
Buy Book in Print
A New Dataset of High-Frequency Monetary Policy Shocks
Author:
Marijn A. Bolhuis https://isni.org/isni/0000000404811396 International Monetary Fund

Search for other papers by Marijn A. Bolhuis in
Current site
Google Scholar Close
,
Sonali Das https://isni.org/isni/0000000404811396 International Monetary Fund

Search for other papers by Sonali Das in
Current site
Google Scholar Close
, and
Bella Yao
Search for other papers by Bella Yao in
Current site
Google Scholar Close
Series:
IMF Working Papers
Volume/Issue:
Volume 2024: Issue 224
Language:
English
Publication Date:
11 Oct 2024
DOI:
https://doi.org/10.5089/9798400290930.001
ISBN:
9798400290930
ISSN:
1018-5941
Pages:
49
Keywords:
monetary policy surprises; monetary policy shocks; central banks; central bank information effect; emerging markets; high-frequency method; spillovers; monetary policy spillovers; monetary policy spillover; monetary policy shock; information effect; monetary policy decision; monetary policy surprise; Yield curve; Sovereign bonds; Central bank policy rate; Emerging and frontier financial markets; Nominal effective exchange rate; Global
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
Download PDF (4.2 MB) Download Epub
This paper presents a new dataset of monetary policy shocks for 21 advanced economies and 8 emerging markets from 2000-2022. We use daily changes in interest rate swap rates around central bank announcements to identify unexpected shocks to the path of monetary policy. The resulting series can be used to examine cross-country heterogeneity in the impact of monetary policy shocks. We establish a new empirical fact on monetary policy spillovers across countries: the monetary policy decisions of small open economy central banks, and not just major central banks, have substantial spillover effects on swap rates and bond yields in other countries.
  • Collapse
  • Expand
Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund