Measuring monetary policy in the UK: the UK Monetary Policy Event‑Study Database

Staff working papers set out research in progress by our staff, with the aim of encouraging comments and debate.
Published on 10 November 2023

Staff Working Paper No. 1,050

By Robin Braun, Silvia Miranda-Agrippino and Tuli Saha

This paper introduces 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 accompanies the publication of the quarterly Monetary Policy Report. The dataset also includes factors that allow to disentangle the different dimensions of UK monetary policy. We use the data to provide updated estimates of the causal effects of rate decisions and forward guidance on financial markets and macroeconomic aggregates in the UK, and provide novel insights on how markets have responded to the changes in the communication strategy of the Bank of England.

Please note that the dataset is currently being revised for publication. As a result of the revision the dataset might undergo some changes, which will be published online in the second half of 2024. Please check back at a later date.

Measuring monetary policy in the UK: the UK Monetary Policy Event‑Study Database

UK Monetary Policy Event‑Study Database