Monetary Policy Shock Series for Empirical Macroeconomics
R package mpshock version 0.1.0
Provides a curated multi-country collection of monetary
policy shock and stance series from the empirical macroeconomics
literature, bundled as tidy data frames with provenance metadata.
Version 0.1.0 includes thirteen series covering the United States,
United Kingdom, and Australia: for the US, the policy news shock of
Nakamura and Steinsson (2018) <doi:10.1093/qje/qjy004>, the
orthogonalised surprise of Bauer and Swanson (2023)
<doi:10.1257/aer.20201220>, the target and path factors of the
Swanson (2021) <doi:10.1016/j.jmoneco.2020.09.003> extension of
Gurkaynak, Sack, and Swanson (2005), the pure monetary policy and
central bank information shocks of Jarocinski and Karadi (2020)
<doi:10.1257/mac.20180090>, the informationally-robust shock of
Miranda-Agrippino and Ricco (2021) <doi:10.1257/mac.20180124>, and
the shadow federal funds rate of Wu and Xia (2016)
<doi:10.1111/jmcb.12300>; for the UK, the UK Monetary Policy
Event-Study Database of Braun, Miranda-Agrippino, and Saha (2025)
<doi:10.1016/j.jmoneco.2024.103645>, the high-frequency surprise of
Cesa-Bianchi, Thwaites, and Vicondoa (2020)
<doi:10.1016/j.euroecorev.2020.103375>, and the narrative shock of
Cloyne and Hurtgen (2016) <doi:10.1257/mac.20150093>; for Australia,
the three-component RBA surprise of Hambur and Haque (2023)
<doi:10.1111/1475-4932.12786> and the credit-spread-augmented RBA
narrative shock of Beckers (2020). Helpers support date alignment,
frequency conversion, and shock cumulation. All data is bundled;
no runtime network access is required.
Software
Depends: R (>= 4.1.0)
Imports: cli (>= 3.6.0), stats, utils
Suggests: curl, spelling, testthat (>= 3.0.0)
Charles Coverdale <charlesfcoverdale@gmail.com>
Comprehensive R Archive Network (CRAN)
Charles Coverdale [aut, cre, cph]
MIT + file LICENSE (https://CRAN.R-project.org/package=mpshock/LICENSE)
2026-04-21
application/tgz
https://CRAN.R-project.org/package=mpshock
doi:10.32614/CRAN.package.mpshock
en-US