Measuring monetary policy in the UK: The UK monetary policy event-study database

• 成果类型: Article
• 署名作者: Braun, Robin; Miranda-Agrippino, Silvia; Saha, Tuli
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors; Federal Reserve System - USA; Federal Reserve Bank - New York; Center for Economic & Policy Research (CEPR); Bank of England
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2024.103645
• 发表日期: 2025
• 关键词: UK monetary policy surprises; Event-study; Intraday; monetary policy transmission; dataset

摘要

We introduce the UK Monetary Policy Event-Study Database (UKMPD), a new and rich dataset of high-frequency monetary policy surprises for the United Kingdom. Intraday surprises are computed around the Bank of England's Monetary Policy Committee's announcements, as well as around the press conference that follows the publication of the quarterly Monetary Policy Report. The dataset also includes factors that disentangle the different dimensions of UK monetary policy. We use the data to estimate the causal effects of UK monetary policy, and provide novel insights on how financial markets have responded to the changes in the communication strategy of the Bank of England.