High-frequency monetary policy surprise for the United Kingdom, constructed from tight-window changes in the three-month sterling interbank rate around Bank of England MPC announcements. Kuttner-style identification adapted for the UK. Monthly frequency.
Format
A data frame with columns:
- date
Date. First day of the observation month.- shock
numeric. UK HFI surprise, percentage points.- series
character. Series identifier"cesa_bianchi_uk".
Source
Cesa-Bianchi, A., Thwaites, G., & Vicondoa, A. (2020). "Monetary policy transmission in the United Kingdom: A high frequency identification approach." European Economic Review 123: 103375. doi:10.1016/j.euroecorev.2020.103375 . Data: https://sites.google.com/site/ambropo/publications.
Details
Identification. Surprises are extracted as the change in the three-month sterling interbank rate in a 60-minute window around each MPC announcement, isolating the unexpected component of the policy decision. Event-level values are aggregated to monthly by summation; months with no MPC meeting are coded zero.
Superseded. For the same identification strategy with a richer asset-price menu and ongoing maintenance, use ukmpd. The CTV series remains useful as a historical reference and for comparisons with pre-UKMPD empirical literature.
Vintage. Static at the published version (1997-06 to 2015-01). No extension maintained by the authors.