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Replication data for: The Macroeconomic Effects of Monetary Policy: A New Measure for the United Kingdom

Version
V0
Resource Type
Dataset
Creator
  • Cloyne, James
  • Hürtgen, Patrick
Publication Date
2016-01-01
Description
  • Abstract

    This paper estimates the effects of monetary policy based on a new, extensive real-time dataset for the United Kingdom. Employing the Romer-Romer identification approach we construct a new measure of monetary policy innovations and find that a 1 percentage point increase in the policy rate reduces output by 0.6 percent and inflation by up to 1 percentage point after 2 to 3 years. Our use of forecast data is shown to be crucial and that their omission generates the well-known price puzzle. Our estimates are more comparable to the wider VAR literature but we also reconcile our findings with the Romer-Romer estimates for the United States.
Availability
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Relations
  • Is supplemented by
    DOI: 10.1257/mac.20150093 (Text)
Publications
  • Cloyne, James, and Patrick Hürtgen. “The Macroeconomic Effects of Monetary Policy: A New Measure for the United Kingdom.” American Economic Journal: Macroeconomics 8, no. 4 (October 2016): 75–102. https://doi.org/10.1257/mac.20150093.
    • ID: 10.1257/mac.20150093 (DOI)

Update Metadata: 2019-10-13 | Issue Number: 1 | Registration Date: 2019-10-13

Cloyne, James; Hürtgen, Patrick (2016): Replication data for: The Macroeconomic Effects of Monetary Policy: A New Measure for the United Kingdom. Version: V0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. http://doi.org/10.3886/E114114