Data refresh. No code changes.
jarocinski_karadi_mp and
jarocinski_karadi_cbi now run to September 2026 (previously
January 2024). They were built from Jarocinski’s frozen January 2024
snapshot repository; they now come from his maintained repository,
jkshocks_update_fed, which he updates after FOMC meetings.
Because the policy factor is re-estimated on the longer sample, earlier
values are revised slightly (the first observation moves from 0.0087 to
0.0089).ukmpd now runs to April 2026 (previously February
2026), from the current Bank of England workbook.wu_xia source link points to the Atlanta Fed’s new
address for the Wu-Xia shadow rate page; the old address now returns
404.bauer_swanson is unchanged: the San Francisco Fed
workbook is still the 2023 update.Corrected the source attribution for the
bauer_swanson series. The series is MPS_ORTH, the
orthogonalised monetary policy surprise, whose construction comes from
Bauer and Swanson, “A Reassessment of Monetary Policy Surprises and
High-Frequency Identification”, NBER Macroeconomics Annual 37:87-155
(2023), (10.1086/723574). The package previously cited the authors’
other 2023 paper, “An Alternative Explanation for the ‘Fed Information
Effect’” (American Economic Review 113(3):664-700), which addresses the
Fed-information-effect debate rather than the MPS_ORTH construction.
Fixed in the package description, inst/CITATION, the series
documentation, the series metadata returned by mp_series(),
and the README citation table.
Added a URL-verification test covering the bundled DOIs, and
advertised the pkgdown site in DESCRIPTION.
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.