The UK equivalent of the Gurkaynak-Sack-Swanson three-factor decomposition: a principal-component rotation of high-frequency surprises in OIS rates, gilt yields, short-sterling futures, and the FTSE 100 around Bank of England MPC announcements and Monetary Policy Report press conferences. Bundled at monthly frequency; months with no MPC announcement are coded zero.
Format
A data frame with columns:
- date
Date. First day of the observation month.- shock
numeric. Target factor (current Bank Rate surprise), percentage points.- path
numeric. Path factor (forward-guidance surprise), percentage points.- qe
numeric. QE factor (long-end asset-purchase surprise), percentage points.- series
character. Series identifier"ukmpd".
Source
Braun, R., Miranda-Agrippino, S., & Saha, T. (2025). "Measuring Monetary Policy in the UK: The UK Monetary Policy Event-Study Database." Journal of Monetary Economics 149. doi:10.1016/j.jmoneco.2024.103645 . Data: https://www.bankofengland.co.uk/working-paper/2023/measuring-monetary-policy-in-the-uk-ukmpd.
Details
Three factors. The UK Monetary Policy Event-Study Database (UKMPD)
rotates three principal components into Target (current Bank Rate
surprise), Path (forward-guidance surprise), and QE (long-end
asset-purchase surprise). The package bundles shock = Target, with
path and qe as additional columns for users running multi-factor
local projections.
Maintenance. UKMPD is the flagship UK shock database: live- maintained by the authors and published through the Bank of England Staff Working Paper series. The bundled version is a snapshot from the package build; check the source URL for the latest vintage if you need observations after the bundled end date.
Relation to older UK series. UKMPD effectively supersedes the Gerko-Rey (2017) UK surprises and the pre-MPR vintage of cesa_bianchi_uk. Cesa-Bianchi-Thwaites-Vicondoa and Cloyne-Hurtgen remain useful for pre-1997 coverage and for narrative comparison.