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

Author

Listed:
  • Robin Braun

    (Federal Reserve Board of Governors)

  • Silvia Miranda-Agrippino

    (Bank of England)

  • Tuli Saha

    (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

  • Robin Braun & Silvia Miranda-Agrippino & Tuli Saha, 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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    Citations

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    Cited by:

    1. Engin Kara, 2025. "The Curse of Flexibility Under Uncertainty," CESifo Working Paper Series 12166, CESifo.
    2. Miguel Acosta & Andrea Ajello & Michael D. Bauer & Francesca Loria & Silvia Miranda-Agrippino, 2025. "Financial Market Effects of FOMC Communication: Evidence from a New Event-Study Database," CESifo Working Paper Series 12343, CESifo.
    3. Miguel Acosta & Andrea Ajello & Michael D. Bauer & Francesca Loria & Silvia Miranda-Agrippino, 2025. "Financial Market Effects of FOMC Communication: Evidence from a New Event-Study Database," Working Paper Series 2025-30, Federal Reserve Bank of San Francisco.
    4. Di Pace, Federico & Mangiante, Giacomo & Masolo, Riccardo M., 2025. "Do firm expectations respond to monetary policy announcements?," Journal of Monetary Economics, Elsevier, vol. 149(C).
    5. Engin Kara, 2025. "The Natural Rate of Inflation," CESifo Working Paper Series 12306, CESifo.

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    Keywords

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    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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