Replication data for: The Macroeconomic Effects of Monetary Policy: A New Measure for the United Kingdom

Name	File Type	Size	Last Modified
20150093_replicationfiles			10/25/2021 01:15:PM
LICENSE.txt	text/plain	14.6 KB	10/12/2019 03:51:PM

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: 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: Narrative approach; monetary policy shocks; historical macro-economic data; real-time data; forecast data; central bank

JEL Classification:
      E23 Macroeconomics: Production
      E31 Price Level; Inflation; Deflation
      E32 Business Fluctuations; Cycles
      E52 Monetary Policy

Geographic Coverage: United Kingdom

Time Period(s): 1/1/1975 – 12/31/2007

Data Type(s): other:; observational data; aggregate data

Collection Notes: 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: 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: Time series data by year and month,

Related Publications

Download this project

Published Versions

V1 [2019-10-12]

Export Metadata

Dublin Core

DDI 2.5

Report a Problem

Found a serious problem with the data, such as disclosure risk or copyrighted content? Let us know.

This material is distributed exactly as it arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.