Working Paper: CEPR ID: DP18595
Authors: Robin Braun; Silvia Miranda-Agrippino; Tuli Saha
Abstract: 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.
Keywords: UK monetary policy; event study; intraday monetary policy transmission; monetary policy shocks; financial markets
JEL Codes: E43; E44; E52; E58; G14
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| bank rate increase (E52) | corporate spreads (G39) |
| bank rate increase (E52) | stock market repricing (G10) |
| bank rate increase (E52) | output (C67) |
| bank rate increase (E52) | inflation (E31) |
| monetary policy shocks (E39) | output (C67) |
| bank rate announcements (E52) | market response (D49) |