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Monetary policy transmission in the United Kingdom: A high frequency identification approach

机译：英国货币政策传播：高频识别方法

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This paper investigates the impact of monetary policy shocks on macroeconomic and financial variables in the United Kingdom using a new series of high-frequency monetary policy surprises. Employing our surprises as an instrument in a monthly SVAR over the UK's inflation-targeting period, we show that a monetary policy tightening induces a decline in economic activity and in CPI, an appreciation of the Pound, a reduction in bank credit, and a significant increase in mortgage and corporate bond spreads. UK monetary policy also affects foreign credit spreads, consistent with the extensive presence of large international players in the UK financial intermediation sector. We finally propose a novel test of overidentifying restrictions, which exploits the availability of the narrative series of monetary policy shocks constructed by Cloyne and Hurtgen (2016), and find that our high-frequency monetary policy surprises are not significantly affected by non-monetary news. (C) 2020 The Bank of England. Published by Elsevier B.V. All rights reserved.
机译：本文研究了货币政策冲击对英国宏观经济和金融变量的影响，使用新的一系列高频货币政策惊喜。在英国的通胀目标期间每月SVAR雇用我们的惊喜，我们展示了一个货币政策收紧，突出了经济活动和CPI的下降，升值，银行信贷减少，减少了银行信贷减少和重大抵押贷款和公司债券的增加。英国货币政策也会影响外国信贷差价，符合英国金融中介部门大型国际参与者的广泛存在。我们终于提出了一种新的对超凝区的测试，这利用了Cloyne和Hurggen（2016年）构建的叙述系列的叙述系列的可用性，并发现我们的高频货币政策惊喜并未受到非货币新闻的显着影响。 （c）2020英格兰银行。 elsevier b.v出版。保留所有权利。

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