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A New Dataset of High-Frequency Monetary Policy Shocks

Author

Listed:
  • Marijn A. Bolhuis
  • Sonali Das
  • Bella Yao

Abstract

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.

Suggested Citation

  • Marijn A. Bolhuis & Sonali Das & Bella Yao, 2024. "A New Dataset of High-Frequency Monetary Policy Shocks," IMF Working Papers 2024/224, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:2024/224
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