Narrative Romer-Romer-style monetary policy shock for the United Kingdom. Cash-rate changes are purged of their systematic response to Bank of England internal forecasts, leaving a series of exogenous policy innovations. Monthly frequency.
Format
A data frame with columns:
- date
Date. First day of the observation month.- shock
numeric. UK narrative shock, percentage points.- series
character. Series identifier"cloyne_hurtgen_uk".
Source
Cloyne, J., & Hurtgen, P. (2016). "The Macroeconomic Effects of Monetary Policy: A New Measure for the United Kingdom." American Economic Journal: Macroeconomics 8(4): 75-102. doi:10.1257/mac.20150093 . Replication data on openICPSR project 114114; bundled vintage is the Cesa-Bianchi-Thwaites- Vicondoa (2020) re-compilation available at https://sites.google.com/site/ambropo/publications.
Details
Narrative identification. Cloyne and Hurtgen (2016) read the Bank of England Inflation Report forecasts and regress each Bank Rate change on the Bank's own real-time projections for output, unemployment, and inflation at horizons up to two years. The residual is the "narrative" shock. The bundled series is the extension carried forward by Cesa-Bianchi, Thwaites, and Vicondoa using the same methodology; the original paper covers 1975 to 2007 but the bundled vintage is the CTV re-compiled version from 1997-06 onwards.
Comparison with HFI. Narrative shocks are typically lower- frequency than high-frequency event-window surprises and capture broader policy reassessments. They can differ materially from cesa_bianchi_uk and ukmpd even on common sample.