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Measuring monetary policy in the UK: the UK Monetary Policy Event‑Study Database

Author

Listed:
  • Braun, Robin

    (Federal Reserve Board of Governors)

  • Miranda-Agrippino, Silvia

    (Bank of England)

  • Saha, Tuli

    (Bank of England)

Abstract

This paper introduces 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 accompanies the publication of the quarterly Monetary Policy Report. The dataset also includes factors that allow to disentangle the different dimensions of UK monetary policy. We use the data to provide updated estimates of the causal effects of rate decisions and forward guidance on financial markets and macroeconomic aggregates in the UK, and provide novel insights on how markets have responded to the changes in the communication strategy of the Bank of England.

Suggested Citation

  • Braun, Robin & Miranda-Agrippino, Silvia & Saha, Tuli, 2023. "Measuring monetary policy in the UK: the UK Monetary Policy Event‑Study Database," Bank of England working papers 1050, Bank of England.
    • Handle: RePEc:boe:boeewp:1050
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    UK monetary policy surprises; event-study; intraday; monetary policy transmission; dataset;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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