The informationally-robust monetary policy shock from Miranda- Agrippino and Ricco (2021), constructed as the component of FF4 (fourth Eurodollar futures) high-frequency surprises orthogonal to the Fed's Greenbook information set. Isolates exogenous policy moves from shifts in the central bank's private information about the economy. Monthly US series from the Degasperi and Ricco maintained extension.
Format
A data frame with columns:
- date
Date. First day of the observation month.- shock
numeric. Informationally-robust MP shock, percentage points.- info
numeric. Companion information component, percentage points.- series
character. Series identifier"miranda_agrippino_ricco".
Source
Miranda-Agrippino, S., & Ricco, G. (2021). "The Transmission of Monetary Policy Shocks." American Economic Journal: Macroeconomics 13(3): 74-107. doi:10.1257/mac.20180124 . Updated data: https://github.com/riccardo-degasperi/info-policy-surprises.
Details
Construction. The raw FF4 surprise (3-month-ahead fed-funds futures) is projected on the Fed's Greenbook / Tealbook forecast revisions for GDP, unemployment, and inflation at horizons of zero to four quarters (Miranda-Agrippino and Ricco 2021, Section III). The residual is the informationally-robust monetary policy shock.
Extension past 2013. The published paper covers 1991 to 2009; the Degasperi-Ricco maintained update extends to June 2019. Because the Fed's Tealbook is subject to a five-year release embargo, post-2013 observations use real-time SPF and Greenbook-equivalent series instead. These are not strictly on the same information basis as the published 1991 to 2009 series.
Ramey critique. Ramey (2018, discussion of Miranda-Agrippino-Ricco at the NBER Summer Institute) notes that orthogonalisation is with respect to the Fed's information set, not the market's. Any news markets infer from the announcement beyond the Tealbook remains in the residual. Weak-instrument F-statistics drop materially after 2007.