Staff Working Paper No. 1,050
By Robin Braun, Silvia Miranda-Agrippino and Tuli Saha
We introduce the UK Monetary Policy Event-Study Database (UKMPD), a new and rich dataset of high-frequency monetary policy surprises for the United Kingdom. Intraday surprises are computed around the Bank of England’s Monetary Policy Committee’s announcements, as well as around the press conference that follows the publication of the quarterly Monetary Policy Report. The dataset also includes factors that disentangle the different dimensions of UK monetary policy. We use the data to estimate the causal effects of UK monetary policy, and provide novel insights on how financial markets have responded to the changes in the communication strategy of the Bank of England.
This version was updated in July 2024.
Measuring monetary policy in the UK: the UK Monetary Policy Event‑Study Database
Appendix to Measuring monetary policy in the UK: the UK Monetary Policy Event‑Study Database
The database has been revised and updated in July 2024.
UK Monetary Policy Event‑Study Database