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© 2024 International Monetary Fund
WP/24/224
IMF Working Paper
Strategy, Policy, and Review Department
A New Dataset of High-Frequency Monetary Policy Shocks1
Prepared by Marijn A. Bolhuis, Sonali Das, and Bella Yao
Authorized for distribution by Anna Ilyina
October 2024
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.
ABSTRACT:
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.
RECOMMENDED CITATION: Bolhuis A. Marijn, Sonali Das and Bella Yao (2024): A New Dataset of High-Frequency Monetary Policy Shocks. IMF Working Paper, No. WP 24/224.
| JEL Classification Numbers: | E31, E32, E43, E51, E52, E58, E63 |
| Keywords: | monetary policy surprises; monetary policy shocks; central banks; central bank information effect; emerging markets; high-frequency method; spillovers; monetary policy spillovers |
| Author’s E-Mail Address: | mbolhuis@imf.org, sdas2@imf.org, yyao3@imf.org |
| JEL Classification Numbers: | E31, E32, E43, E51, E52, E58, E63 |
| Keywords: | monetary policy surprises; monetary policy shocks; central banks; central bank information effect; emerging markets; high-frequency method; spillovers; monetary policy spillovers |
| Author’s E-Mail Address: | mbolhuis@imf.org, sdas2@imf.org, yyao3@imf.org |
Title Page
WORKING PAPERS
A New Dataset of High-Frequency Monetary Policy Shocks
Prepared by Marijn A. Bolhuis, Sonali Das, and Bella Yao1
Contents
Introduction
II. Data and methodology
A. Data
B. Identification of shocks
C. Implementation
D. Summary statistics
III. The High-Frequency Impact of Monetary Policy Shocks
A. Same-day responses
B. Dynamic impact
C. High-frequency spillovers
V. Conclusions
References
Annex I. Data
A. Sample and variables
B. Surprise series
Annex II. Framework
Annex III. Additional results
The authors are grateful to Anna Ilyina for guidance and would like to thank Mehdi Benatiya Andaloussi, Luisa Charry, Ruo Chen, Yigyuan Chen, Ece Özge Emeksiz, Stephan Danninger, Salvatore Dell’Erba, Purva Khera, Estelle Xue Liu, Rui Mano, Papa N’Diaye, Julia Otten, Josef Platzer, Zexi Sun, Cindy Xu, and seminar participants at the International Monetary Fund for helpful comments and suggestions.
The authors are grateful to Anna Ilyina for guidance and would like to thank Mehdi Benatiya Andaloussi, Luisa Charry, Ruo Chen, Yigyuan Chen, Ece Özge Emeksiz, Stephan Danninger, Salvatore Dell’Erba, Purva Khera, Estelle Xue Liu, Rui Mano, Papa N’Diaye, Julia Otten, Josef Platzer, Zexi Sun, Cindy Xu, and seminar participants at the International Monetary Fund for helpful comments and suggestions.