IMF Working Papers

A New Dataset of High-Frequency Monetary Policy Shocks

By Marijn A. Bolhuis, Sonali Das, Bella Yao

October 11, 2024

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Format: Chicago

Marijn A. Bolhuis, Sonali Das, and Bella Yao. "A New Dataset of High-Frequency Monetary Policy Shocks", IMF Working Papers 2024, 224 (2024), accessed November 21, 2024, https://doi.org/10.5089/9798400290930.001

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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.

Summary

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.

Keywords: Central bank information effect, Central banks, Emerging markets, High-frequency method, Monetary policy shocks, Monetary policy spillovers, Monetary policy surprises, Spillovers

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