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Initial release. Thirteen monetary policy shock and stance series bundled across three countries.
nakamura_steinsson: policy news shock from Nakamura and
Steinsson (2018), monthly 2000-02 to 2014-03. Harvard Dataverse CC0
1.0.bauer_swanson: orthogonalised monetary policy surprise
(MPS_ORTH) from Bauer and Swanson (2023), monthly 1988-02 to 2023-12. SF
Fed research data.gss_target: Federal Funds Rate factor from the Swanson
(2021) extension of Gurkaynak, Sack, and Swanson (2005), monthly 1991-07
to 2015-10.gss_path: Forward Guidance factor from the Swanson
(2021) extension, monthly 1991-07 to 2015-10.jarocinski_karadi_mp: pure monetary policy shock from
Jarocinski and Karadi (2020), monthly 1990-02 to 2024-01.jarocinski_karadi_cbi: central bank information shock
from Jarocinski and Karadi (2020), monthly 1990-02 to 2024-01.miranda_agrippino_ricco: informationally-robust
monetary policy shock from Miranda-Agrippino and Ricco (2021), monthly
1991-01 to 2019-06.wu_xia: shadow federal funds rate from Wu and Xia
(2016), monthly 1960-01 to 2022-02. US Federal Reserve research output,
public domain.ukmpd: UK Monetary Policy Event-Study Database from
Braun, Miranda-Agrippino, and Saha (2025), three-factor decomposition
(Target, Path, QE), monthly 1997-06 onwards, live-maintained by the Bank
of England.cesa_bianchi_uk: UK high-frequency surprise from
Cesa-Bianchi, Thwaites, and Vicondoa (2020), monthly 1997-06 to
2015-01.cloyne_hurtgen_uk: UK narrative monetary policy shock
from Cloyne and Hurtgen (2016), bundled via the
Cesa-Bianchi-Thwaites-Vicondoa re-compilation, monthly 1997-06 to
2009-02.hambur_haque_au: three-component Australian
high-frequency surprise (action, path, term premium) from Hambur and
Haque (2023, RDP 2023-04), monthly 2001-04 to 2019-12. RBA research
output, CC BY 4.0.beckers_au: Australian narrative monetary policy shock
(Bishop- Tulip plus credit spreads) from Beckers (2020, RDP 2020-01),
quarterly 1994-Q1 to 2018-Q4. RBA research output, CC BY 4.0.mp_shock() loads a named series as a tidy data frame
with class mp_shock.mp_list() returns a metadata table of available
series.mp_source() returns the citation and source URL for a
series.mp_align() aligns a series to a target data frame by
date.mp_to_quarterly() aggregates monthly series to
quarterly frequency.mp_cumulate() computes cumulative or rolling-window
shock sums.print() and format() methods for
mp_shock objects.These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
Health stats visible at Monitor.