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This file contains the monetary policy shock dataset constructed in the context of our paper:
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Sangyup Choi, Tim Willems, and Seung Yong Yoo (2023), "Revisiting the Monetary Transmission Mechanism through an Industry-Level Differential Approach", Bank of England Staff Working Paper No. 1024. Please refer to this paper when using our dataset.
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In sheet "data_CWY", the labelling of variables is as follows:
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MPS
Monetary policy shock used in the analysis.
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source
Details how the shock was constructed. Coding: 1 = high-frequency; 2 = swap yields; 3 = bond yields; 4 = survey-based; 5 = residual from Taylor rule; 6 = imported from anchor currency. See paper for details.
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anchor
Where applicable: country of anchor currency. Coding: 1 = US; 2 = EU; 3 = Germany; 4 = UK; 5 = France.
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In sheet "background_CWY", the labelling of variables is as follows:
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MPS_noka_adj
Monetary policy shock without adjusting shocks in countries with pegged currencies for degree of capital account openness ("ka_open"). See paper for details.
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HF
High-frequency estimate of monetary policy shock (where available). See paper for details.
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Swap_surprise
Surprise measure based on changes in swap yields on days of monetary policy decisions (where available). See paper for details.
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Bond_surprise
Surprise measure based on changes in bond yields on days of monetary policy decisions (where available). See paper for details.
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Survey_surprise
Surprise measure based on Bloomberg surgey of financial market participants (where available). See paper for details.
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Taylor_resid
Residuals from Taylor rule (where available, which is only for the annual frequency). See paper for details.
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usd_peg
Dummy variable taking the value "1" when country pegs to the US dollar in given year (source: Ilzetzki, Reinhart, and Rogoff 2019).
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eur_peg
Dummy variable taking the value "1" when country pegs to the euro in given year (source: Ilzetzki, Reinhart, and Rogoff 2019).
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ger_peg
Dummy variable taking the value "1" when country pegs to the German mark in given year (source: Ilzetzki, Reinhart, and Rogoff 2019).
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gbp_peg
Dummy variable taking the value "1" when country pegs to the British pound in given year (source: Ilzetzki, Reinhart, and Rogoff 2019).
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fra_peg
Dummy variable taking the value "1" when country pegs to the French franc in given year (source: Ilzetzki, Reinhart, and Rogoff 2019).
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ka_open
Chinn-Ito measure of capital account openness.
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Last updated:
Mar-24
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