Returns a metadata table of every shock or stance series bundled in the package.
Value
A data frame with one row per series and columns:
series: identifier used withmp_shock().author: short author string, e.g. "Nakamura and Steinsson (2018)".country: ISO country code or "EA" for Euro area.frequency:"monthly","quarterly", or"event".type:"shock"for identified monetary policy shocks,"shadow_rate"for shadow-rate stance measures,"surprise"for high-frequency event-window surprises.start,end: coverage span asDate(first and last bundled observation).n: number of non-missing shock observations.doi: DOI of the source paper.source_url: canonical URL for the published series.description: short prose description.
Examples
mp_list()
#> series author
#> 1 nakamura_steinsson Nakamura and Steinsson (2018)
#> 2 bauer_swanson Bauer and Swanson (2023)
#> 3 gss_target Gurkaynak, Sack, Swanson (2005) / Swanson (2021)
#> 4 gss_path Gurkaynak, Sack, Swanson (2005) / Swanson (2021)
#> 5 jarocinski_karadi_mp Jarocinski and Karadi (2020)
#> 6 jarocinski_karadi_cbi Jarocinski and Karadi (2020)
#> 7 miranda_agrippino_ricco Miranda-Agrippino and Ricco (2021)
#> 8 wu_xia Wu and Xia (2016)
#> 9 ukmpd Braun, Miranda-Agrippino, Saha (2025)
#> 10 cesa_bianchi_uk Cesa-Bianchi, Thwaites, Vicondoa (2020)
#> 11 cloyne_hurtgen_uk Cloyne and Hurtgen (2016)
#> 12 hambur_haque_au Hambur and Haque (2023)
#> 13 beckers_au Beckers (2020)
#> country frequency type start end n
#> 1 US monthly shock 2000-02-01 2014-03-01 170
#> 2 US monthly shock 1988-02-01 2023-12-01 431
#> 3 US monthly shock 1991-07-01 2015-10-01 292
#> 4 US monthly shock 1991-07-01 2015-10-01 292
#> 5 US monthly shock 1990-02-01 2024-01-01 404
#> 6 US monthly information 1990-02-01 2024-01-01 404
#> 7 US monthly shock 1991-01-01 2019-06-01 342
#> 8 US monthly shadow_rate 1960-01-01 2022-02-01 385
#> 9 UK monthly shock 1997-06-01 2026-02-01 345
#> 10 UK monthly shock 1997-06-01 2015-01-01 212
#> 11 UK monthly narrative 1997-06-01 2009-02-01 141
#> 12 AU monthly shock 2001-04-01 2019-12-01 225
#> 13 AU quarterly narrative 1994-03-01 2018-11-01 100
#> doi
#> 1 10.1093/qje/qjy004
#> 2 10.1086/723574
#> 3 10.1016/j.jmoneco.2020.09.003
#> 4 10.1016/j.jmoneco.2020.09.003
#> 5 10.1257/mac.20180090
#> 6 10.1257/mac.20180090
#> 7 10.1257/mac.20180124
#> 8 10.1111/jmcb.12300
#> 9 10.1016/j.jmoneco.2024.103645
#> 10 10.1016/j.euroecorev.2020.103375
#> 11 10.1257/mac.20150093
#> 12 10.1111/1475-4932.12786
#> 13
#> source_url
#> 1 https://dataverse.harvard.edu/dataset.xhtml?persistentId=doi:10.7910/DVN/HZOXKN
#> 2 https://www.frbsf.org/research-and-insights/data-and-indicators/monetary-policy-surprises/
#> 3 https://sites.socsci.uci.edu/~swanson2/
#> 4 https://sites.socsci.uci.edu/~swanson2/
#> 5 https://github.com/marekjarocinski/jkshocks_update_fed_202401
#> 6 https://github.com/marekjarocinski/jkshocks_update_fed_202401
#> 7 https://github.com/riccardo-degasperi/info-policy-surprises
#> 8 https://www.atlantafed.org/cqer/research/wu-xia-shadow-federal-funds-rate
#> 9 https://www.bankofengland.co.uk/working-paper/2023/measuring-monetary-policy-in-the-uk-ukmpd
#> 10 https://sites.google.com/site/ambropo/publications
#> 11 https://www.openicpsr.org/openicpsr/project/114114/version/V1/view
#> 12 https://www.rba.gov.au/publications/rdp/2023/2023-04/
#> 13 https://www.rba.gov.au/publications/rdp/2020/2020-01/
#> description
#> 1 Policy news shock: first principal component of five interest-rate futures surprises in a 30-minute window around FOMC announcements, aggregated to monthly.
#> 2 Orthogonalised monetary policy surprise (MPS_ORTH): high-frequency FOMC-event surprise purged of predictability from public information.
#> 3 Federal Funds Rate factor (extended): the Swanson (2021) three-factor decomposition analogue of the original GSS target factor, aggregated to monthly.
#> 4 Forward Guidance factor (extended): the Swanson (2021) three-factor decomposition analogue of the original GSS path factor, aggregated to monthly.
#> 5 Pure monetary policy shock (median decomposition): high-frequency FOMC surprise identified by sign restrictions on the joint rate-stock response.
#> 6 Central bank information shock (median decomposition): the component of FOMC surprises co-moving rates and stocks in the same direction.
#> 7 Informationally-robust monetary policy shock: FF4 high-frequency surprise orthogonalised against the Fed's Greenbook information set.
#> 8 Shadow federal funds rate: the Wu-Xia estimate of what the fed funds rate would have been during zero-lower-bound episodes. Shock column is the first difference.
#> 9 UK Monetary Policy Event-Study Database (UKMPD): three-factor decomposition (Target, Path, QE) of high-frequency surprises around Bank of England MPC announcements. Live-maintained by the BoE.
#> 10 UK high-frequency monetary policy surprise: Kuttner-style tight-window surprise around Bank of England MPC announcements, aggregated to monthly.
#> 11 UK narrative monetary policy shock: Romer-Romer-style identification using Bank of England Inflation Report forecasts to purge the cash rate of systematic reactions.
#> 12 Australian monetary policy surprise: three-component decomposition (action, path, term premium) of OIS and AGS yield moves around RBA cash-rate decisions.
#> 13 Australian narrative monetary policy shock: cash-rate changes orthogonal to RBA internal forecasts, augmented with credit-spread information (Beckers's 'BT-CS' headline series), quarterly.