Replication data for: Deconstructing Monetary Policy Surprises—The Role of Information Shocks

Central bank announcements simultaneously convey information about monetary policy and the central bank's assessment of the economic outlook. This paper disentangles these two components and studies their effect on the economy using a structural vector autoregression. It relies on the information inherent in high-frequency co-movement of interest rates and stock prices around policy announcements: a surprise policy tightening raises interest rates and reduces stock prices, while the complementary positive central bank information shock raises both. These two shocks have intuitive and very different effects on the economy. Ignoring the central bank information shocks biases the inference on monetary policy nonneutrality.

中央银行公告可同时传递货币政策相关信息，以及中央银行对经济前景的评估判断。本文采用结构向量自回归（structural vector autoregression）模型，对这两类信息组分进行分离，并探究其对宏观经济的影响。该研究依托政策公告前后高频区间内利率与股价的内在协同变动信息：未预期的货币政策收紧将推高利率、压低股价，而与之互补的正向中央银行信息冲击则会同时推升利率与股价。这两类冲击对宏观经济的影响具有明确的直观差异。若忽略中央银行信息冲击，将会导致货币政策非中性的推断产生偏误。