Narrative Romer-Romer-style monetary policy shock for Australia.
RBA cash-rate changes are purged of their systematic response to the
Bank's internal forecasts (Bishop-Tulip 2017 methodology) and further
augmented with credit-spread information to separate genuine policy
innovations from responses to financial conditions. Quarterly
frequency. The headline bundled shock is Beckers's preferred
credit-spread-augmented series ("BT-CS"); the pre-augmentation
Bishop-Tulip series (bt) is included alongside for comparison.
Format
A data frame with columns:
- date
Date. First day of the observation quarter.- shock
numeric. BT-CS shock (preferred), percentage points.- bt
numeric. Bishop-Tulip pre-augmentation shock, percentage points.- rate_chg
numeric. Raw quarterly cash-rate change, percentage points.- series
character. Series identifier"beckers_au".
Source
Beckers, B. (2020). "Credit Spreads, Monetary Policy and the Price Puzzle in Australia." Reserve Bank of Australia Research Discussion Paper 2020-01. https://www.rba.gov.au/publications/rdp/2020/2020-01/. CC BY 4.0. Bishop-Tulip methodology: Bishop, J., & Tulip, P. (2017). "Anticipatory Monetary Policy and the Price Puzzle." RBA Research Discussion Paper 2017-02.
Details
Construction. The BT-CS series regresses cash-rate changes on RBA internal forecasts (GDP, unemployment, CPI) plus measures of domestic credit spreads, at quarterly frequency. The residual is the identified policy shock.
Frequency note. This is the only quarterly-frequency series
currently bundled in mpshock. mp_to_quarterly() is unnecessary;
pass beckers_au directly into quarterly VARs or LPs.
Licence. RBA research output under Creative Commons Attribution 4.0 International.