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
AEJMacro-2018-0124-R4-Online Appendix.pdf 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:  View help for Summary 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.


Scope of Project

Subject Terms:  View help for Subject Terms macroeconomics; monetary policy shocks; identification
JEL Classification:  View help for JEL Classification
      C11 Bayesian Analysis: General
      C14 Semiparametric and Nonparametric Methods: General
      E52 Monetary Policy
      G14 Information and Market Efficiency; Event Studies; Insider Trading
Geographic Coverage:  View help for Geographic Coverage US
Time Period(s):  View help for Time Period(s) 1979 – 2014
Data Type(s):  View help for Data Type(s) aggregate data


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V1 [2021-06-18]

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