This paper constructs a new series of monetary policy surprises for the United Kingdom andudestimates their effects on macroeconomic and financial variables, employing a high-frequencyudidentification procedure. First, using local projections methods, we find that monetary policyudhas persistent effects on real interest rates and breakeven inflation. Second, employing ourudseries of surprises as an instrument in a SVAR, we show that monetary policy affects economicudactivity, prices, the exchange rate, exports, and imports. Finally, we implement a test ofudoveridentifying restrictions, which exploits the availability of the narrative series of monetaryudpolicy shocks computed by Cloyne and Huertgen (2014), and find no evidence that eitherudset of shocks contains any ‘endogenous’ response to macroeconomic variables.
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