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.