The "central bank information" shock from Jarocinski and Karadi (2020), identified alongside the pure MP shock by sign restrictions on the joint rate-stock response. The information shock moves short rates and stock prices in the same direction, interpreted as the central bank revealing private information about the economy. Monthly US series from the authors' maintained update.
Format
A data frame with columns:
- date
Date. First day of the observation month.- shock
numeric. CB information shock (CBI_median), percentage points.- series
character. Series identifier"jarocinski_karadi_cbi".
Source
Jarocinski, M., & Karadi, P. (2020). "Deconstructing Monetary Policy Surprises: The Role of Information Shocks." American Economic Journal: Macroeconomics 12(2): 1-43. doi:10.1257/mac.20180090 . Updated data: https://github.com/marekjarocinski/jkshocks_update_fed_202401.
Details
See jarocinski_karadi_mp for the full identification scheme and caveats. The information shock is the companion component: if markets interpret a hawkish rate surprise as a sign the Fed has seen positive economic news, stocks rise rather than fall.
Controversy. Bauer-Swanson (2023) and Acosta (2023) argue the information shock is largely artefactual: an omitted-variables problem (Fed and markets reacting to the same pre-meeting public data) plus a weak sign-restriction identifier. Interpret with caution; if the information-effect literature is central to your result, read both critiques before citing.