高频货币政策冲击的新数据集（英）2024

Investment Rating - The report does not explicitly provide an investment rating for the industry analyzed Core Insights - The paper introduces a new dataset of high-frequency monetary policy shocks for 21 advanced economies and 8 emerging markets from 2000 to 2022, utilizing daily changes in interest rate swap rates around central bank announcements to identify unexpected monetary policy shocks [4][10] - A significant finding is that monetary policy decisions from small open economy central banks have substantial spillover effects on swap rates and bond yields in other countries, indicating that the impact of monetary policy is not limited to major central banks [4][16] Summary by Sections Introduction - The report discusses the reassessment of monetary policy effectiveness following the inflation surge post-COVID-19, emphasizing the need for identifying exogenous components of monetary policy [9][10] Data and Methodology - The dataset covers 29 countries, including 20 central banks, with a total of 3,545 monetary policy events, allowing for a comprehensive analysis of monetary policy shocks [19][20] - The methodology involves constructing monetary policy surprises using daily changes in interest rate swap rates around central bank announcements, ensuring consistency across countries [12][26] High-Frequency Impact of Monetary Policy Shocks - The report estimates the transmission of monetary policy to various interest rates and asset prices, highlighting the same-day effects of monetary policy announcements on sovereign bond yields and exchange rates [53][55] - It presents empirical results showing that a 100 basis point increase in monetary policy surprise significantly impacts sovereign bond yields in both advanced and emerging markets [56]