mpshock: Monetary Policy Shock Series for Empirical Macroeconomics

Provides a curated collection of monetary policy shock and stance series from the empirical macroeconomics literature, bundled as tidy data frames with provenance metadata. All data is bundled; no runtime network access is required.

Main functions

• mp_shock() loads a named series.

• mp_list() returns a metadata table of available series.

• mp_source() returns the citation and source URL for a series.

• mp_align() aligns a series to a target data frame by date.

• mp_to_quarterly() aggregates monthly series to quarterly.

• mp_cumulate() computes cumulative or rolling-window shock sums.

Bundled datasets (v0.1.0)

United States:

• nakamura_steinsson: policy news shock, 2000-02 to 2014-03.

• bauer_swanson: orthogonalised MP surprise, 1988-02 to 2023-12.

• gss_target: GSS target factor (Swanson extended), 1991-07 to 2015-10.

• gss_path: GSS path factor (Swanson extended), 1991-07 to 2015-10.

• jarocinski_karadi_mp: pure MP shock, 1990-02 to 2024-01.

• jarocinski_karadi_cbi: CB information shock, 1990-02 to 2024-01.

• miranda_agrippino_ricco: informationally-robust MP shock, 1991-01 to 2019-06.

• wu_xia: shadow federal funds rate, 1960-01 to 2022-02.

United Kingdom:

• ukmpd: three-factor UK event-study database (Target / Path / QE), 1997-06 to the latest BoE vintage.

• cesa_bianchi_uk: UK high-frequency surprise, 1997-06 to 2015-01.

• cloyne_hurtgen_uk: UK narrative shock, 1997-06 to 2009-02.

Australia:

• hambur_haque_au: three-component RBA HFI shock (action / path / term premium), 2001-04 to 2019-12.

• beckers_au: RBA narrative shock (Bishop-Tulip + credit spreads), quarterly 1994-Q1 to 2018-Q4.

Further reading

For general background on shock identification, see Ramey (2016), "Macroeconomic Shocks and Their Propagation," Handbook of Macroeconomics 2: 71-162. For a recent cross-series comparison of the identification strategies bundled here, see Aeberhardt, Bruno, and Fidora (2024), "Monetary Policy Shocks: Data or Methods?" FEDS Working Paper 2024-011.

See also

Useful links:

• https://github.com/charlescoverdale/mpshock

• Report bugs at https://github.com/charlescoverdale/mpshock/issues

Author

Maintainer: Charles Coverdale charlesfcoverdale@gmail.com [copyright holder]