CieslakSchrimpf_2019

Abstract

We compile a novel database of time-stamped monetary policy events by the four main central banks—the Federal Reserve (Fed), the European Central Bank (ECB), the Bank of England (BOE) and the Bank of Japan (BOJ)—spanning the period from the late 1990s through the end of 2017. We classify events on several dimensions. At the basic level, we distinguish events by types of communication tools, most importantly (i) statements of monetary policy decisions, (ii) press conferences, (ii) releases of minutes of the policy meeting and, in the case of the BOE, inflation reports. We further introduce a classification of unconventional policy interventions, e.g., distinguishing between the phases of asset purchase programs. We additionally characterize announcements by whether they are accompanied by changes in explicit forward guidance.