Replication data for: The Macroeconomic Effects of Monetary Policy: A New Measure for the United Kingdom
Principal Investigator(s): View help for Principal Investigator(s) James Cloyne; Patrick Hürtgen
Version: View help for Version V1
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Project Citation:
Cloyne, James, and Hürtgen, Patrick. Replication data for: The Macroeconomic Effects of Monetary Policy: A New Measure for the United Kingdom. Nashville, TN: American Economic Association [publisher], 2016. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E114114V1
Project Description
Summary:
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This paper estimates the effects of monetary policy based on a new, extensive real-time dataset for the United Kingdom. Employing the Romer-Romer identification approach we construct a new measure of monetary policy innovations and find that a 1 percentage point increase in the policy rate reduces output by 0.6 percent and inflation by up to 1 percentage point after 2 to 3 years. Our use of forecast data is shown to be crucial and that their omission generates the well-known price puzzle. Our estimates are more comparable to the wider VAR literature but we also reconcile our findings with the Romer-Romer estimates for the United States.
Scope of Project
Subject Terms:
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Narrative approach;
monetary policy shocks;
historical macro-economic data;
real-time data;
forecast data;
central bank
JEL Classification:
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E23 Macroeconomics: Production
E31 Price Level; Inflation; Deflation
E32 Business Fluctuations; Cycles
E52 Monetary Policy
E23 Macroeconomics: Production
E31 Price Level; Inflation; Deflation
E32 Business Fluctuations; Cycles
E52 Monetary Policy
Geographic Coverage:
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United Kingdom
Time Period(s):
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1/1/1975 – 12/31/2007
Data Type(s):
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other:;
observational data;
aggregate data
Collection Notes:
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See main paper for detailed description of the data construction and online appendix tables A1 and A2. Historical macroeconomic real-time and forecast data are collected from (i) the Bank of England historical Inflation Report forecast datasets (ii) the National Institute of Economic Research's National Institute Economic Review and (iii) the National Institute of Economic Research's NiGEM database.
Methodology
Data Source:
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See Tables A1 and A2 in the online appendix for the full set of data sources. Main data sources: UK Office for National Statistics, Bank of England, National Institute for Economic and Social Research (NIESR), Eurostat, IMF.
Unit(s) of Observation:
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Time series data by year and month,
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