Information and Policy Shocks in Monetary Surprises
The GitHub Repository contains time series at monthly frequency of the high-frequency instruments for monetary policy and information shocks as defined in Miranda-Agrippino and Ricco (2021) and extended to 2015:12.
This short note extends the approach proposed in Miranda-Agrippino and Ricco (forthcoming on AEJ:macro), that disentangles monetary policy surprises into macroeconomic information and policy shocks, to include the zero lower bound (ZLB) period and the introduction of unconventional monetary policy which followed the Great Recession. The note details the construction of the information-robust instrument used to identify conventional monetary policy shocks, and provides some discussion on the Delphic and Odyssean components in the forward path of monetary policy surprises at longer maturities.