Global Monetary Conditions and Interbank-Market Volatility: Replication Dataset

This dataset contains the final analytical sample used in the study “Global Monetary Conditions and Interbank-Market Volatility: The Role of Domestic Interest-Rate Adjustment.” The dataset contains 7,015 country-month observations covering 45 countries from November 2011 through November 2024. It is an unbalanced monthly panel constructed for the empirical analysis of the relationship between domestic interbank interest-rate adjustment, subsequent interbank-market volatility, and U.S.-led global monetary tightening. The dataset includes the domestic interbank interest rate, monthly interest-rate adjustment, one-month-ahead rolling interbank-rate volatility, the U.S. Federal Funds Effective Rate, global monetary tightening measures, their interaction term, inflation, GDP growth, and the CBOE Volatility Index (VIX), together with sample and episode indicators used in the analysis. The analytical variables are constructed from data obtained from the OECD Main Economic Indicators, the Federal Reserve Bank of St. Louis FRED database, the Board of Governors of the Federal Reserve System, the Chicago Board Options Exchange, and the World Bank. Derived variables are calculated by the authors as described in the accompanying research manuscript. This repository contains the final analytical dataset used for the reported empirical results. It is not the original raw source data.