Data and Code for The Transmission of Monetary Policy Shocks
Principal Investigator(s): View help for Principal Investigator(s) Silvia Miranda-Agrippino, Bank of England and CEPR; Giovanni Ricco, University of Warwick and CEPR
Version: View help for Version V1
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| REPLICATION FILES - PUBLIC | 04/29/2020 07:22:AM | ||
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application/pdf | 686.6 KB | 04/29/2020 03:25:AM |
Project Citation:
Miranda-Agrippino, Silvia, and Ricco, Giovanni. Data and Code for The Transmission of Monetary Policy Shocks. Nashville, TN: American Economic Association [publisher], 2021. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2021-06-18. https://doi.org/10.3886/E116841V1
Project Description
Summary:
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Replication package (data & code) for "The Transmission of Monetary Policy Shocks" by Silvia Miranda-Agrippino & Giovanni Ricco
Abstract: Commonly used instruments for the identification of monetary policy disturbances are likely to combine the true policy shock with information about the state of the economy due to the information disclosed through the policy action. We show that this signalling effect of monetary policy can give rise to the empirical puzzles reported in the literature, and propose a new high-frequency instrument for monetary policy shocks that accounts for informational rigidities. We find that a monetary tightening is unequivocally contractionary, with deterioration of domestic demand, labor and credit market conditions, as well as of asset prices and agents’ expectations.
Abstract: Commonly used instruments for the identification of monetary policy disturbances are likely to combine the true policy shock with information about the state of the economy due to the information disclosed through the policy action. We show that this signalling effect of monetary policy can give rise to the empirical puzzles reported in the literature, and propose a new high-frequency instrument for monetary policy shocks that accounts for informational rigidities. We find that a monetary tightening is unequivocally contractionary, with deterioration of domestic demand, labor and credit market conditions, as well as of asset prices and agents’ expectations.
Scope of Project
Subject Terms:
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macroeconomics;
monetary policy shocks;
identification
JEL Classification:
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C11 Bayesian Analysis: General
C14 Semiparametric and Nonparametric Methods: General
E52 Monetary Policy
G14 Information and Market Efficiency; Event Studies; Insider Trading
C11 Bayesian Analysis: General
C14 Semiparametric and Nonparametric Methods: General
E52 Monetary Policy
G14 Information and Market Efficiency; Event Studies; Insider Trading
Geographic Coverage:
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US
Time Period(s):
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1979 – 2014
Data Type(s):
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aggregate data
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